The Toffees faced Scunthorpe United today.
Moyes explained: "If you are a Club like Everton all cup competitions are a bonus and the longer you stay in it the better. I wish we had Europe, we aren't in it this year, and I wish we had stayed longer in the League Cup.
"I would rather be a good league team than a good cup team because that shows your consistency but I really enjoyed my trips to Wembley for the semi final and the final (in 2009). We didn't win it and it would be nice if we could go one step further.
"But every manager you interview today will be saying the same thing - every manager has a dream of winning the FA Cup."