The Blues were around eighth favourites with the bookmakers to win the competition before the knockout stages began in February.
"We've picked up a lot of self-belief over the last few months from our good results and how we've played," Havertz told the club's website.
"Self-belief is generally very important in football and ours has improved a lot, so it's made a difference.
"Porto and Atletico were difficult to play against because of their defensive strengths,' added Kai.
"They set themselves up in their own halves and wait for you to make a mistake. For me, those were the most difficult games.
"My favourite game would be the second leg against Real Madrid when we reached the final. That was good. There's been a few good games, but for me the highlight would have to be the game against Real."
On his approach to Saturday's showdown with Manchester City.
"It's about giving your all in the game, having fun, and hopefully winning," said Havertz.
"Being in the tunnel, walking out, hearing the anthem, and then giving your all for over 90 minutes…it's a childhood dream which has been reached but not yet fulfilled.
"We still need to win and we'll do everything we can to do just that."
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