City will soon relinquish their Premier League champions status to Liverpool and face a two-year UEFA ban from the Champions League for breaking Financial Fair Play rules.
But Pep Guardiola's side still have a chance of claiming three trophies this season.
“Sunday is important," said Gabriel Jesus. “It's been a big week because we played Leicester away, a team with a lot of quality, and went seven points in front of them.
“So we've had two very good games - and now it's a final. It's important to win the first title of the season.
“The second leg against Real Madrid will be a difficult game, but now we have to focus on the final on Sunday and play to win the first title."