Dzeko, who was left out of the semi-final win over United, believes his City career will take off next season after he finally claimed his Premier League goal since a £27m move from Wolfsburg against Blackburn last month.
"It's been tough at times over the last three months," said Dzeko. "But I'm not the first player who didn't make the best start. I'm happy that Fernando Torres finally scored for Chelsea because I know what the pressure is like.
"I've never doubted myself because I know what I am capable of.
"Of course it was difficult when I was left out of the semi-final. Everyone wants to play at Wembley, but maybe I will get my chance in the final.
"Now we have to look to the future. It's a new beginning for me and for City. I know I can play much better than I have played in the last few months, but the new season will be the time for me."