The €222 million signing of Neymar means PSG are now being considered among the favourites for the trophy, despite last season's astonishing capitulation as they lost 6-5 on aggregate to Barcelona in the first knockout round.
PSG have not progressed beyond the quarter-finals since being taken over by the Qatar Investment Authority in 2011, and Al-Khelaifi is expecting more tough tests in 2017-18.
He was quoted by beiIN Sports are saying: "I think it's not an easy draw, there are great clubs with us: Bayern Munich, of course, but also Anderlecht, against whom we played a few years ago, and Celtic, a prestigious club.
"But we want to play each game to win it. That's our aim. Our start to the season has been good, that's an important first step, but there is still a lot of work to do.
"We're happy with the team's performances right now. We need to win to be able to maintain that momentum and to stay on track."
PSG were bundled out of last season's competition in astonishing circumstances as they blew a 4-0 first-leg lead by losing 6-1 away to Barcelona in the return fixture.
Al-Khelaifi underlined how important European success is to PSG, but concedes work is still to be done to take them into the elite level, despite Neymar's arrival.
"The goal is to be good in every game, to always stay focused and work to go the furthest," he added.
"It's too early to say if we can win the trophy this season, but it's our dream, our goal.
"We did everything we could to win this Champions League. But there are other big clubs in front.
"We are doing everything we can to grow and become a bigger club. Our supporters, the city of Paris and France deserve it. We are not yet with the great big clubs. But we're doing everything we can to get there."