Winning the Europa League would secure United a spot in the Champions League next season and, for Bailly, it would be another medal to add to his collection.
“First of all, nothing is impossible at Manchester United," he said, speaking to United Review.
"It would be brilliant if this time we were able to go all the way and I was part of the team in the final. That's what I'm working towards.
“Manchester United is a club that is used to being in the Champions League year after year, but the Europa League is a competition that not every team gets to be in, so it's something we're working hard in.
“Two or three seasons ago we were fortunate enough to go all the way and win it."
He added: “We're in it again, this time with a younger squad that has lots and lots of talent, and I think there's a real energy about the place that could help us to continue to progress through the tournament.
"This season we're hoping for a repeat and that continues tonight with the next challenge against Brugge."