Spurs meet Manchester United in Bilbao seeking a first European trophy in 41 years.
"It would be massive for the players, for the staff and especially for the fans," said Vicario on Tuesday.
"We know we can create history for this football club. We know that probably next year when we walk through the corridors into the dressing room, we will see some photos of us lifting that trophy, but now it is not certain.
"So we have to keep working as best we can to try to arrive on the day as much ready as we can to create history."
This is why I joined Tottenham
For Vicario, he's delighted to make the final after missing three months of the season due to an ankle injury.
"The injury has been a big deal for me," said the Italy international. "To live through this kind of moment and win a semi-final of a European competition to go into a final, it was a big aim for me to try to arrive in May and to have the opportunity to play this kind of game.
"I cannot to be more proud of my journey until this point. Now it is just about trying to finalise the last step we have."