Juventus have won all five of their games at the Stadio Olimpico this season, a run that began in April.
The Giallorossi have not lost in extra-time in Serie A this season.
They will face the Nerazzurri in the first leg of their Champions League quarter-final on Tuesday (23:00 GMT).
Juventus are yet to concede a goal in this league campaign, with seven different players making more than one appearance.
The Bianconeri will be hoping to end their six-match losing streak at the Bernabeu with victory in this extra-match thriller.