The 29-year-old explained there is a "positive pressure" on the Madrid players to win the competition for the 10th time and said he enjoys a good relationship with Gareth Bale
Cristiano Ronaldo has said it is his "dream" to win the Champions League with Real Madrid.
The Spanish giants face local rivals Atletico Madrid in the final of Europe's most prestigious club competition at the Estadio da Luz in Lisbon as they look to win the tournament for the 10th time in their history.
Ronaldo said Los Blancos are confident they can beat Diego Simeone's men and admited his burning ambition of winning the Champions League with the club.
"It will be a very special match which takes place in my country," he said in an interview with Uefa. "I'm very happy and excited.
"I’m going to try to enjoy it to the maximum because you don’t reach a final every day.
"We know it will be a very difficult match because Atletico are having a very impressive year. They are a very good team and they have a great coach. But we want to try to win and give our best.
"The team is in good shape and is confident.
"La Decima is a moment that all Madrid fans dream about. We are all very excited and we have to win.
"I won the Champions League with Manchester United and now it is my fifth season here at Real Madrid. I have always dreamed of winning this competition with this club.
"It is a trophy we have spent years trying to win. As a result, from the very first day we arrive at the club we feel a positive kind of pressure geared towards winning the Champions League.
"This year it feels like we are just one small step away from doing it. Pressure is a part of football and of playing for Real Madrid. We are used to having to win all the time, but it is fine.
"I like the pressure because it makes me a better player. It is a special kind of adrenalin we feel.
"It has been a great season and the fans can feel it. We are very close to achieving something very important.
"As players, we need to win matches and the fans support us so much both inside and outside the stadium."
The Portugal international also heaped praise upon coach Carlo Ancelotti, describing him as "unique".
"From the start it has been a very good experience with him, he is a great person. He is a unique human being.
"As a coach, there's nothing you can say because he has already won everything. What stands out most about him is his humility as a friend and as a person. It’s the same for everyone who works with him."