The rivalry between the two sets of supporters is notoriously fierce and police security has been stepped up for the fixture, but Coyle hopes the atmosphere will add to the spectacle on Sunday rather than detract from it.
"It's not come about for so long and people's nerves will be frayed but that's why we love football, the excitement of it," Coyle said.
"My message is, let's go along and make it a real entertaining afternoon with both teams going all out, committed to winning the game - and let's make sure we support our teams, but make sure we conduct ourselves in the right manner."
There is certainly no animosity between the two managers, and Coyle said he and opposite number Sam Allardyce would be meeting up after the game regardless of the result.
"I know Sam well and I have met up with him on three occasions this year already and had extensive chats with him," Coyle said.
"He's been great, I have a lot of time for him as a football person because his record is there for everyone to see in the success he has had, and as a man - he has gone out of his way on a few occasions to help me.
"He knows win, lose or draw, we will sit down together and have a chat after the game."
Matches between the Clarets and Rovers have been few and far between in recent years and Coyle admitted he had no idea about the significance of the derby even during his stint as a player at nearby Bolton in the 1990s.
But all that changed in no time once he became Burnley boss, as the importance of "beating the Rovers" became apparent from his first day in the job.
"I had two and a half brilliant years at Bolton and absolutely loved it, and Blackburn and Burnley were just along the road. But I wasn't aware of the rivalry at all," Coyle confirmed.
"But I think I was in the job here five minutes when I came out of a press conference and somebody who worked at the football club came up to me and said 'listen, all the best - but make sure you beat the Rovers when you play them!'
"I thought 'we're in a different division to begin with!' But it struck home straightaway, that intense rivalry."