Walcott, with his contract running down, is desperate for some silverware after six barren years at Arsenal.
He added: "I want to look back at my career at the trophies I have won and there are none yet!
"I haven't even got anywhere set aside in the house for when I do get some medals. Not yet.
"This is a cup competition we can win. A lot of big teams have gone out. Hopefully, everyone can believe we can win this."