Victory over Chelsea in the final on Wednesday would see Emery go out front with four titles, one ahead of Giovanni Trapattoni.
"My titles in this competition are no guarantee," said Emery. "Each match, each year is different.
"The first idea was to transmit to the players this season is that we go for every competition. Now we are in the Europa League. We needed to feel this competition was an important competition.
"When we started playing in the first matches, some players preferred to play Premier League. Okay. I explained then to every player that we needed the focus on every competition.
"I am going to decide when you are going to rest or not. I don't want you to think you might not play in the early rounds and yet when we arrive at the semi-final or the final you say to me: I am here to play. No. I want you here, I want you ready to play, and you will be ready to play throughout.
"Of course some injuries can stop you playing. But the focus all the season is in this competition with a big focus and a big ambition to do something important. And to feel this competition like we want it."