The Real Madrid star said there is "positive kind of pressure" on his side to win the competition for the 10th time.
Cristiano Ronaldo has said it is his "dream" to win the Champions League with Real Madrid.
The Spanish giant faces local rival Atletico Madrid in the final of Europe's most prestigious club competition at the Estadio da Luz in Lisbon as it looks to win the tournament for the 10th time in its history.
Ronaldo said Los Blancos are confident they can beat Diego Simeone's men and shared his burning ambition of winning the Champions League with the club.
"It will be a very special match, which takes place in my country," he said in an interview with Uefa. "I'm very happy and excited. I’m going to try to enjoy it to the maximum because you don’t reach a final every day. We know it will be a very difficult match because Atletico are having a very impressive year. They are a very good team and they have a great coach. But we want to try to win and give our best. The team is in good shape and is confident.
"La Decima is a moment that all Madrid fans dream about. We are all very excited and we have to win. I won the Champions League with Manchester United and now it is my fifth season here at Real Madrid. I have always dreamed of winning this competition with this club.
"It is a trophy we have spent years trying to win. As a result, from the very first day we arrive at the club we feel a positive kind of pressure geared towards winning the Champions League. This year it feels like we are just one small step away from doing it. Pressure is a part of football and of playing for Real Madrid. We are used to having to win all the time, but it is fine.
"I like the pressure because it makes me a better player. It is a special kind of adrenaline we feel. It has been a great season and the fans can feel it. We are very close to achieving something very important. As players, we need to win matches and the fans support us so much both inside and outside the stadium."
The 29-year-old was asked about his thoughts on teammate Gareth Bale and he said the two have a great relationship on and off the field.
"Gareth is an excellent player, he has adapted very well," he said. "He's had some fantastic games in the Champions League, the league and the cup. He scored an excellent goal against Barcelona and he has shown his quality. We both speak English and we have naturally become closer.
"I already liked him as a player and now that I know him as a person I like him even more. We talk a lot and I do anything I can to help him."
The Portugal international also heaped praise upon coach Carlo Ancelotti, describing him as "unique."