The Foxes will face Roma in the semi-final first leg at King Power Stadium on Thursday, with the winner of the brand new competition given a place in the Europa League.
With Leicester sitting 9th in the league, Castagne knows how important it is to secure European football for next season.
"That's a big thing for us," the 26-year-old said. "First of all because I think having a season with just the Prem and of course the cups, it's going to be a bit empty after going through Europe and stuff.
"For the club, the money will be different for them, but that's not something I should think about. We want to do something again in the Europa League so it would be nice to win the Conference League and go there.
"That's also a big thing (attracting players) and also to keep players from going, you can say we have Europa League. You don't need as many players if you don't have Europa League so you can't keep the players you want to keep, so it helps in a lot of aspects if you have Europa League."