Striker Anelka, who doubles up as a member of the coaching staff, takes heart from former club Chelsea who have gone on a streak since sacking their coach, Andre Villa-Boas, in March.
"Changing the coach has provided (Chelsea) with a lot more space for imagination. The change of coach has set the club free in many aspects and that is why they are in the final," Anelka said.
"There is a great possibility and a great chance for them to win the Champions League. I wish them all the best.