Kane was named the world's best player last week, beating superstars Kylian Mbappe and Lamine Yamal to the prestigious award.
However, the England international said the reason he plays the game is to enjoy success with his teammates.
"Team trophies are why we play football. The team aspect of our sport is really, really important," Kane told reporters in the Spanish capital.
"The Ballon d'Or last week was one of the best feelings I've had in my life and my career... but to have moments with the team, celebrations with the club, to be able to lift the Champions League with Bayern would be an incredible feeling.
"Of course the Ballon d'Or is a highlight, it puts me on an even bigger level, but you want to have these big finals, the Champions League, having that feeling of emotion with your teammates as well.
"I would choose the Champions League, but I have the opportunity to do both - let's see what happens."
The 33-year-old striker was hailed by Atletico coach Diego Simeone as an "incredible player" and "very good for football", before Tuesday's match.
"I'd like to thank Diego Simeone, who is one of the best coaches of this era," said Kane.
"I'm proud to receive praise from someone like him. Winning the Ballon d'Or was a huge achievement for me - I've had to overcome many challenges in my career, some people didn't think I'd get this far... but Simeone will do everything he can to stop me and the team tomorrow."
Bayern have only won one of their first three league phase games, with draws against Arsenal and Viking.
Kane suffered defeat in Atletico's Metropolitano stadium in 2019 when playing in the Champions League final for Tottenham against Liverpool. It is also the venue for this season's final.
"You have good memories in stadiums, sometimes you don't - hopefully we can have a good memory tomorrow," added Kane.
"I play again here next week with England against Spain, and then hopefully at the end of the year we're back again for the Champions League final.
"So I have a chance and we have a chance to erase that painful memory from 2019 for sure, and that's what you can do in life and football, just take the next opportunity."