The Blues have been the nearly men of the Champions League for the last six years, being knocked out at the semi-final stage on four occasions and, having at last managed to get through to the final in 2008, losing on penalties to Manchester United.
"Obviously the Premier League is very important, but for this club the Champions League is a massive target for us. We've not won it yet," said Cole.
"We've come close over the last five years and we probably should've won it on a few occasions.
"We have the right people in charge, we have the experience now and we have to come to places like this and win, that's the challenge for us."