The Uruguay star has delivered a warning to the rest of the continent and revealed his thoughts on playing alongside Zlatan Ibrahimovic.
The Ligue 1 champions have been drawn against Bundesliga side Bayer Leverkusen in the last 16 and Cavani insists they are capable of going all the way in the competition.
"Yes, I really think that the PSG can win the Champions League," the Uruguay international told French newspaper Le Figaro.
The striker moved to les Parisiens in a 64 million euro deal from Napoli over the summer and has since forged a partnership with Zlatan Ibrahimovic - a player he was quick to praise for his unique style.
"I feel good next to Zlatan . He is a player of great class," he said. "He scares opponents because he can score at any moment. He has his own way of playing; it may seem impolite and rude, but he is a very important player for the team."
The 26-year-old has scored 16 goals in 22 games in all competitions so far this season and believes his decision to move to France has made him a more complete player.
"I'm very good in Paris. I had a rather difficult adjustment, but all the people in France have treated me great and this has helped me," he said. "Today I feel happy and want to grow more as a person and player. I work 100 percent to achieve my goals with PSG."