Chelsea reached this season's final thanks to Enzo Fernandez's early header as they won 1-0.
Sanchez told TNT Sports: "It's amazing. The boys reacted in the way they should have. We've tried to keep everyone positive in training and it's the chance to be in another finall. It's something we've been working for and it's amazing.
"I'm happy. I always try to do my job. We go through ups and downs. I'm very happy about the season I've had but it's about ending it on a high. Four Premier League games to go and a final.
"(The goal) comes straight from the training ground. We practice it. They fight for the second ball. Perfect. They deserve moments like this. It's good to give that little bit back after a tough period."
On caretaker manager Calum McFarlane's message, Sanchez added: "Keep it positive and focus on the next games. We said six games to go and it's on us to try and win the final."