The Toffees will travel to Etihad Stadium to face Manchester City in the second leg of the League Cup semi-final on Wednesday night.
The Merseysiders hold a 2-1 advantage from the first leg and a Wembley final against local rivals Liverpool awaits them if they manage to get a positive result in the second encounter with City.
"The players are so excited about such a big game as Wednesday," said Deulofeu.
"We need to win that and get to Wembley - that's an incredible possibility.
"I want to go there and win the final but we have a very difficult game against City first. We have to win because in Premier League it's not been good.
"I have never been to Wembley. To have the chance now is great. I want to go there with Everton for the first time."