Bangladesh posted a tense three-wicket win in the first Test in Dhaka, before routing the tourists by 162 runs in the second match in Khulna to take a 2-0 lead. Bangladesh have swept a series only once in their 14-year Test history when they defeated an under-strength West Indies in both matches in the Caribbean in 2009.
"It's a rare situation for us," Rahim told reporters on Tuesday ahead of the Test in the port city.
"I can't remember when we were last in such a good position. But the reality is that the third Test will be tougher than the first two because Zimbabwe have been here for almost three weeks and will be better prepared.
"We have no reason to be complacent. We lose so often that we have something to prove. Every Test is important for us."
In the 87 Tests they have played so far since their debut in 2000, Bangladesh have won just six matches, lost 70 and drawn 11. Rahim said his team needed an improved display in the field and urged his batsmen to play long innings after they had settled in if they are to succeed in challenging more established opponents.
"We have been able to create enough pressure for Zimbabwe, but the bigger sides will not give us so many chances," he said.
The hosts have brought in batsman Imrul Kayes in place of opener Shamsur Rahman, who managed just 33 runs in the first two Tests. Zimbabwe captain Brendan Taylor hoped his batsmen and bowlers will shine together to reverse the team's fortunes.
"We had our bowling go well in the first Test and the batting did its bit in the second," he said. "If we can be a little more consistent and put those things together, we will be more of a threat."