The newly-crowned Portuguese champions denied favourites Juventus a showpiece occasion at their own stadium by eliminating the Serie A titleholders in the semi-finals, while the Rojiblancos sneaked through after a late Stephane Mbia header gave the Andalusians an away-goals victory despite losing 3-1 at fellow Liga side Valencia.
"Benfica will come into this match with confidence after winning their league and knocking out Juventus, but we also have that confidence," Carrico told Goal. "I think it will be an even game, but we'll give it everything. Finals are there to be won."
And the former Sporting graduate added: "It will be tough and complicated, but it's a special match for me and for the team - and we have to enjoy it."
Carrico, who is on loan from English Championship side Reading, believes the resilience shown at Valencia in the semi-finals will help his side on Wednesday.
"That was extremely tough," he said. "We knew it would be hard at Mestalla, but I said to my team-mates all along that a goal would get us through. I didn't realise it would be in the last minute, but we deserve to be in the final and that will help us."
The 25-year-old, a Portuguese Under-21 international in the past, also hopes his own fine form will lead to a World Cup call-up from national coach Paulo Bento.
"I'm in a final with Sevilla, so it's possible," he said. "But it doesn't depend only on me. The coach has to choose 23 players and we'll have to respect his decision."