The Brazil international has been with PSG since 2013 and insists they deserved their semifinal triumph against Arsenal.
Marquinhos told Canal+: "It's a wonderful feeling. I think the club has done a good job. It's been a long, hard road, and we've had some very difficult matches. We have to make the most of it and prepare in the best possible way.
"The work is done for the final, but we want more, to go for the title."
Marquinhos then looked back on his years with the Parisians.
He continued: "We look back on experiences, they are scars in a career. They make you grow, you have to keep the positive side.
"I make the most of it on the pitch and when the team is doing well, when it is defending... Some have just arrived, they don't know how difficult it is to get this far.
"I'm happy to be here, some haven't been able to enjoy that moment, I'm happy to be here."
Enrique changed PSG's DNA
Marquinhos also was keen to highlight the impact of coach Luis Enrique has had in building the team and creating the atmosphere inside the dressing room.
He said: "I think the coach has gone step by step to improve this team. He had a DNA to change, a mentality to put in place. He did it little by little. There were matches that changed that over the course of the season. Against Man City, against Liverpool, it gave us more confidence, it confirmed.
"Last year, we weren't necessarily able to convert. Now, we see that things are going in the right direction. The coach keeps improving us."
Marquinos, in particular, referred to the defensive work of their attackers.
"It reassures me, yes, we see how Kvara (Khvicha Kvaratskhelia) helped Nuno (Mendes) in the two against one against (Bukayo) Saka. (Bradley) Barcola is also gifted... The coach says it's very difficult to play as a striker in his team!"