It has been a successful week for the Blues, who last Saturday won at Aston Villa to all but secure a return to the Champions League they won in 2012 ahead of Sunday's final game of the Premier League season at home to Everton.
"I'm not too sure how many (medals) I've won, but I still enjoy the feeling of winning," Cole told Chelsea TV.
"I think we've got that mentality never to give up. You look at the weekend against Villa - we never gave up, kept the pressure on.
"We dominated clear-cut chances and we're lucky we've got Brana with his big head to score the header."