The Blues are still challenging in both competitions after beating Liverpool to progress to the final of the Champions League and drawing level with Manchester United in the Premier League title race.
Cech would love to be successful in both but he has already won the Premier League twice with Chelsea and concedes that he craves European glory more.
Asked which was more important, Cech told idnes.cz: "I don't see a difference, but if I take it purely personally, I already have two titles with Chelsea and I have not won the Champions League. So it is clear."
"We did not always have good periods during the league, we were not successful in either the Carling Cup or the FA Cup and journalists put us under fire," said the Czech Republic international.
"Now we are back in the title race in the Premier League and Grant is the first coach to have taken Chelsea into the Champions League final.
"After the match it was obvious how much he was happy."