Roberto Mancini's side booked their place in the FA Cup final with a 2-1 win over Chelsea at Wembley on Sunday, with the Argentina international netting a looping header past Petr Cech to secure his side's progression.
After failing to defend their Premier League crown this term, Aguero says it is important for the club to not end up empty-handed at the end of the season.
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"But if we can win a trophy once a year it is very important and that's what we will try to do.
"Of course we have a good team. We must continue the way we are doing, so we can try and win the FA Cup and continue to go forward in the Premier League. That's what we are trying to achieve."
Chelsea gave Mancini's men a scare with a late rally despite enduring a congested fixture schedule, and Aguero believes the extra games could have actually benefited the opposition.
He continued: "To be honest, sometimes the more games you play the better it is because you keep the intensity levels quite high.
"Sometimes it goes against you, and obviously the pitch was quite large so therefore there was tiredness there in the end."
City now turn their attention to facing Wigan in the Premier League on Wednesday in what is a dress rehearsal for next month's FA Cup final.
"It is another important game for us, and if we continue the way we are we will win," Aguero added.