The previous three defeats came in 2000 against Toulouse, in 2002 against Castres Olympique and most recently two years ago when Leinster won a 29-28 thriller in Dublin.
Earlier this month they beat Saracens 22-3 at Vicarage Road to set up the Bordeaux showdown with a club coached by Joe Schmidt - who was on the Clermont coaching staff when they won the French Championship title for the first time in 2010.
"We must keep calm and not get too excited because there is still a long way to go," said the international threequarter who starred for France in the 2011 World Cup final against New Zealand. "It is great that we are in the Heineken Cup semi-finals but we need to keep working because we have not won anything yet.
"Each title has a unique flavour to it but it is quite right that if we can really perform and win the Heineken Cup title it would be unbelievable for the club and what a way it would be to celebrate our centenary season."
Clermont won the Amlin Challenge Cup title in 1999 and 2007 but now they are in uncharted Heineken Cup territory and Rougerie is wary of Leinster's greater experience of the big stage working in the Irish club's favour after their Heineken Cup final triumphs of 2009 and 2011.
"Even before last weekend's Top14 game against Montpellier we had already had a quick look at Leinster's quarter-final against Cardiff Blues," he said. "We already knew a fair bit about this team because we played them last year during the Pool stage.
"They have quality players everywhere but their biggest strengths are probably the back row and their backs who are very fast - it will be a huge challenge to face Rob Kearney, Brian O'Driscoll and Gordon D'Arcy. And one thing that is sure is that their experience could work against us and they are so used to these games and if we are leading the game they won't panic.
"They showed this ability in last year's final against Northampton. It is a huge strength when you know how vitally important the details are in a Heineken Cup semi-final.
"Joe knows Clermont well but we are not worried, he is doing a great job in Dublin with world-class players. He has a close relationship with his players and knows how to lead a team.
"During the quarter-final against Saracens I just played as well as my team-mates. We all wanted to gave our very best for this game and there was no complacency. Most of all the victory was a collective one, the individual performance could be good only if the team is working well.
"Lee Byrne, Nathan Hines and Sitiveni Sivivatu bring a lot to the team, they bring a freshness and huge experience. It is vital for the team to have established players like them. They are doing a awesome job by reassuring and leading the young players.
"It is always rewarding to meet people from Wales, Scotland or New Zealand and they are a full part of the team and fully integrated. The team spirit is great and I am sure that you can see it with our performance on the pitch.
"It is very difficult to challenge for the Heineken Cup and the French Championship but we hope to go as far as we can and we will not make a choice between the two competitions."