Carlo Ancelotti's men picked up their first trophy of the 2014-15 campaign in Cardiff on Tuesday night and the Blancos supremo views it as a case of one down, five to go.
The European champion got its new campaign off to the strongest of starts thanks to goals either side of halftime from Cristiano Ronaldo in Cardiff.
Perez is delighted with how his players fared after a preseason truncated by the World Cup earlier this summer and is now eager to land the remaining five trophies available to Carlo Ancelotti's men this season.
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"We didn't play badly for the little time we have been training and we are thrilled with this win," he is quoted as saying by Marca. "But is gives us the desire to keep trying to improve. That's Madrid's history, without arrogance. That's how our parents taught us.
"We want to keep winning titles and so we have prepared well for the new season."
Perez was also delighted that his side's beaten opponent was also from La Liga.
"It was a party for Spain," he added. "We're very happy because there were two Spanish teams."