The veteran forward wants to make the supporters of Biancocelesti happy by overcoming a 2-1 deficit and reaching the final of the domestic cup competition on Wednesday evening
The forward moved to San Siro from the Biancocelesti in January after nine years in the Italian capital, and he revealed reaching the final at the expense of Aurelio Andreazzoli's side would be a way of saying thank you to those who used to sing his praises.
"I want to make the fans happy of both Inter and Lazio," he told Corriere dello Sport.
"I have had messages from Lazio fans telling me 'I know how to beat them'. I still have respect for Roma but it will be like a derby for me."
Inter head into Wednesday's match 2-1 down after the first leg at Stadio Olimpico, and Rocchi admitted reaching the final would give the side a huge confidence boost after a poor run of form in Serie A.
"We will do everything to go through. Playing in the Coppa Italia final would give us a big boost at the end of a season in which we are coming to terms with a lot of injuries," he continued.
"It's true that we are in a poor run of form, but this is more than an excuse to be a stimulus. I think Inter are convinced that we will play a great match.
"We are starting from a position that is not easy. The victory would therefore give us more satisfaction."
The 35-year-old, who ruled out retiring at the end of the current campaign, also commented on the rumours surrounding the future of coach Andrea Stramaccioni and claimed such stories were not affecting the dressing room.
He added: "When you are in football for years you are used to living with these situations. When things do not go your way there is always talk about the change of coach or the re-establishment of the team.
"These things do not disturb us."