The 27-year-old attacking midfielder experienced the agony of defeat in the 2009 tournament decider and is therefore desperate to avoid suffering the same fate in Bucharest
The Brazilian was on the Werder Bremen side beaten by Shakhtar Donetsk in the 2009 tournament decider and he freely admits that he does not want to experience such devastation again in Bucharest.
"Finals are special because you don't play them often in your career," Diego told UEFA.com.
"You need to enjoy moments like these; it's a pleasure playing a match like this. It's a privilege and I hope to win it; that is the most important thing."
Meanwhile, Diego's 19-year-old team-mate Thibaut Courtois has confessed that he is grateful for the fact that Atletico have four surviving members of the squad which won the Europa League in 2010: Antonio Lopez, Alvaro Dominguez, Luis Perea and Paulo Assuncao.
"It's important that those guys know what it's like, and for me it's also good because if there is a problem they can help to solve it," the Belgian goalkeeper stated.
"Experience is fundamental - it's important to have team-mates who have played in a final like this or a similar match."
The Rojiblancos' clash with their Basque rivals will get under way at 20.45CET.