The full-back completed his move from Atletico Madrid to Stamford Bridge on Friday, penning a three-year deal, and is determined to go one better than Diego Simeone's side did in Europe last term.
Filipe was part of the Atletico side who won La Liga on the final day of 2014-15 and then lost in extra time in the Champions League final against local rivals Real Madrid.
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"I want to go one better in the Champions League and, in terms of the Premier League, I want the trophy badly.
"Chelsea is the best club for me to do that; we have the best coach and an amazing squad, we have some brilliant players and I hope the supporters will see the Premier League trophy at Stamford Bridge at the end of the season."
The prospect of playing under Chelsea manager Jose Mourinho – a winner of the Champions League with Porto and Inter – was a major factor in Filipe's decision to swap Madrid for London.
"Jose was one of the reasons which made my decision to come here so easy," the full-back enthused.
"He's an amazing coach, he's won everything. Wherever he goes, he wins titles so I know I will grow a lot under him and my football will improve.
"I'm really happy to have him as a coach."