Warburton is confident that Blues can start with a win in Devon but admits it is a tough start against a Chiefs side that shone again Gloucester last weekend.
He said: "It is a tough pool but I don't think we would have it any other way. With the Heineken Cup, I think it is always the case.
"Exeter are a good English side, we've done a bit of analysis on them, but it's going to be tough as every group game will be for us.
"With Exeter, Glasgow and Toulon, that's three top sides there who could go through and do very well in the latter stages.
"We'll have to be at our best. It's going to be tough, I think we have got one of the tougher groups but I'm really looking forward to it.
"There are some ex-Cardiff players down there, Tom James and the like, so it's a game we're really looking forward to and very confident we can get a result."
Blues return to the Arms Park next week against defending champions Toulon and Warburton acknowledges that winning at home is crucial to a strong European bid.
"We had a good game against Toulon at home last year - we lost unfortunately, but we've got a better squad this year," he added.
"So you should win your home games, sneak an away win and then it opens the group up wide open."