The Croatian midfielder was speaking at an award ceremony where he was awarded the 2019 Golden Foot.
"I like [Serie A], I watch it a lot because I have many friends playing there from the national team and I follow Italian football a lot," he said.
Los Blancos are close to sealing progression to the knockout stages of the Champions League and Modric is looking to go all the way again.
"We will see, there are a lot of big teams that can win it," he said.
"We will try to win it this year, we will give everything.
"It's not easy to win it, we won four in five years.
"We still have desire and will to try and repeat it and try to go out and win another one."