Cole missed the latter parts of last season's European campaign, and was forced to watch our exit from the competition from the sidelines.
A life-long Blue, it was as hard a match as Cole has ever had to witness when Barcelona scored in the dying seconds to deny us a place in Rome.
He told chelseafc.com: "That was the most difficult game to watch for me. I was convinced it was going to be our year and it didn't happen for us.
"It hurt like it would hurt any other Chelsea fan but that's behind us now, it's gone. Now it's time to concentrate on this season and go on and win it.
"In terms of Chelsea as a football club we need to win the Champions League. We have everything else we need. We have the players, the manager, the set up, everything is fantastic, and to win it would make us a whole.
"Chelsea are building ourselves as a club with a genuine claim to be the biggest, but to do it you have to win major trophies. Obviously the Champions League is going to show us as a world-wide club that means business."