The French striker's words take on extra resonance in light of coach Avram Grant's comments that only a trophy can save his job.
"I think we have to win that," he said of Europe's premier trophy.
"We know there will be people after the manager, but as a player you know when you haven't played well and we haven't done recently.
"The criticism should be aimed at the players."
The former Bolton man revealed that the squad have collectively set their sights on the final in Moscow.
"We have spoken about the Champions League and we will try to do our best to win it," he said.
"We have big players who have the quality to do it."