The Spurs and Heat are tied at two games each in the best-of-seven series. Game 5 is Sunday in San Antonio before the series shifts back to Miami for Game 6 (Tuesday) and, if necessary, Game 7 (Thursday).
"It is a must win," Duncan said Saturday. "We don't want to go back down there down a game with two games remaining at their house.
"Obviously if we lose this game, we're not giving up or anything, but we want to go back up with a chance to finish there. Huge pressure if we have to go back there and try to win two."
Spurs teammate Tony Parker was told a few minutes later what Duncan had said.
"I agree. It's a must win," the point guard said. "That's why you play basketball, to live for those moments. We have to win. Simple as that."
After Miami was trounced by San Antonio in Game 3, Wade said Game 4 was a must win game for the Heat. He got what he wanted, the Heat winning with ease, 109-93.