The Magpies led on three separate occasions against Nottingham Forest at the City Ground but conceded each time before the Argentine headed home in the 122nd minute to send his side through.
Now Coloccini wants to lead Newcastle out onto Wembley Stadium in the final of the competition but understands just how tough it could be to pull off.
"All the players dream of playing at Wembley, but it's difficult. There are a lot of games, and a lot of good teams," he told the Evening Chronicle.
"They want to win the cup as well, and it's going to be difficult. But it is a motivation that keeps us going and we are striving to win something for our great fans.
"It's important to keep going in the cup - it's important for us this year. We want to try and keep going."