Vicente del Bosque's side are just one game away from becoming the first country to win three consecutive major championships.
"We are aware of what we are playing for on Sunday," he said.
"It is something that as of today no team has ever achieved. It requires many years of work and sacrifice. No matter what happens we have already made history.
"This hasn't finished though and the icing on the cake would be to return and win the Euros.
"Maybe there are some that don't value it but for the work we have done I think the whole country ought to be proud. Even if we lose we can return with our heads held high."