Oblak -- voted the top men's goalkeeper in the FC 100 last November -- was a key part of Atletico's LaLiga title win last season but has suffered a dramatic dip in his performance level since then.
"We know the level of player he is. For me, he's the best goalkeeper in the world," Koke said in a pre-match news conference on Wednesday. "Maybe we aren't having the luck we've had in previous years. When our opponents shoot, they score.
"But Jan is our vice-captain, he's important. He looks strong. He's focused on doing the same work that he's done all these years, to keep improving and helping the group."
Oblak has conceded 24 goals in just 20 league games this season -- nine teams have let in fewer -- contributing to the side's struggles as they seek to retain the LaLiga title.
Atletico are fourth in the table, 16 points behind leaders Madrid, but have the chance to win the first silverware of the season in Riyadh.
"It's going to be intense, a good game," Koke said when asked about facing Bilbao, who won last year's tournament. "We know each other well and we know their manager [Marcelino]."
The midfielder refused to criticise the hosting of the competition in Saudi Arabia, after Bilbao's Raul Garcia had said it "didn't make sense" to play there.
"I'm an Atletico Madrid player and whatever grows the club in terms of its image is very important," Koke said.
"This is how the tournament is, we'll compete and play where we have to. The fans will support us wherever we are. Everything that helps the club grow is good for us."
Bilbao defender Inigo Martinez echoed Koke's comments, although he highlighted the impact of the competition's location on the club's fans.
"It's not in our hands," Martinez said. "The [Spanish Football] federation is the one that makes the decision and we play.
"It would have been nice to have played in Spain especially for the fans as they would have been able to see their team in action. I will go anywhere it takes to win a title."