The defender says his Real Madrid needs to prove why it has been tipped for cup success at the expense of its fierce city rival.
Los Blancos booked their place in the final with a 4-2 aggregate victory over Barcelona at Camp Nou and the defender insists the club is focused on lifting the trophy following the disappointment of its Champions League semifinal exit at the hands of Borussia Dortmund.
"We are all united," Albiol told Marca. "There is not long to go before the end of the season, so [we need] to focus all our strength to win at Atletico Madrid.
"It will be difficult, but we [will] have many chances to win. We are Real Madrid and we have to prove why we are favorites.
"We started with the goal of winning all the trophies, now we have [the chance to win] one and you have to earn it.
"We're at home, it's a final and we want the title for Madrid, for Real Madrid, and for ourselves. It was hard to reach the final."
Albiol also spoke about Atletico's failure to beat Real in the past 14 years, a streak that continued with their most recent league meeting.
"I do not like statistics because there always comes the day when they are broken. Hopefully [this one] lasts, and does not end in the cup final," Albiol said.