The Liga champions are currently in search of their 10th European crown, and the former Inter boss has fond memories of the trophy, having won it with both Inter and Porto.
“Madrid are looking for a 10th title, which is an impressive figure," he told Sky Sports.
"I am seeking a third with a different club, which would be very special to me, but ambitions are calm and controlled, and we will succeed. The European Cup is the 'Special One'.
“When I won the Champions League with Porto the next day was another day in my life. I don’t like to celebrate because I always think it will not be the last, that there is another just around the corner.
“So I won, I kissed the cup and I went home."
The Portuguese went on to state that he has no problems with the nickname 'the Special One', which he came up with during his first press conference at Chelsea.“It does not bother me. It is a consequence of my words, I cannot fault anyone for using that name. I said those words from the depths of my heart.
"I felt I could really have an impact in England, I could do something special. It was a funny moment, in a good way."