The 26-year-old has made a brilliant start to life at the Liberty Stadium, topping the Premier League scoring charts with 12 goals.
The Swans face Middlesbrough in the quarter-final of the Capital One Cup on Wednesday off the back of a disappointing home defeat to Norwich on Saturday.
|7/1||Swansea are 7/1 with Bet365 to win the Capital One Cup
"Why not think about getting to the final [in the cup]? Let's hope so - it would be special to get to Wembley,” Michu told Marca.
"The bad thing is that it [double against Norwich] didn't help us win any points. That's a shame. It counts for the individual statistics, but if it doesn't help us get a point then it's not something to be happy about.
"Those two goals didn't taste the same as the two against Arsenal. We took the three points there and I was happy on that day."
Michu’s fine start to the season has attracted interest from several clubs, most notably La Liga side Atletico Madrid, and boss Michael Laudrup has rated his midfielder at £30million to ward off interest.
However, the former Rayo Vallecano player insists he is happy at Swansea and has no plans to leave.
"At this stage it's very good to have [scored] 12 goals, but above all to be enjoying myself as much as I am at Swansea. Here you have to work hard, though; nobody gives you anything,” he added.
"Right now I am happy, I am playing almost all the minutes and I am feeling very good.
"It's always special to be linked with teams like Atletico Madrid, one of Spain's biggest teams, but at the moment I am very happy at Swansea."