Zinedine Zidane’s side are looking to make history in the competition this season by becoming the first side to defend the crown in its current format.
They are fast closing in on a third final appearance in four years, with a 3-0 advantage held over cross-city rivals Atletico Madrid in their semi-final derby duel.
Bale is convinced that the La Liga title hopefuls can go all the way and hand him an emotional triumph in Cardiff, with the European specialists in buoyant mood.
The Wales international said at a promotional event for Nissan: “We haven’t played all our cards yet, we’ve still got a few aces up our sleeve.
“We’re still going in both competitions so the mood is positive. We’re playing well and we’re improving with time and with games under our belt, which is making us stronger in every match.
“We always feel we are capable of beating anyone in any competition even though we know it’s not easy.
“It’s not easy to get to the final of the Champions League and to win it. It’s a tough battle, there have been ups and downs on this journey, but we think we can do it.”
Bale is hoping to play a leading role in Madrid’s double charge after enduring another injury-hit campaign.
He returned to action after his latest knock in a Clasico clash with Barcelona, only to be forced off inside 39 minutes.
The 27-year-old is frustrated to find himself back on the sidelines, but is determined to return in time to chase down more major silverware.
Bale added: “This season has been a bit more difficult, I’ve had an ankle injury.
“The season started well but then I was out for three months. Now I’m working to get back to my best physically and to recover from that injury.
“We have to finish the season strongly to try and win the league and the Champions League.”
Bale has been restricted to just 26 appearances in all competitions this season and is yet to reach double figures in terms of goals scored.