The Foxes reached the FA Cup final for the first time in 52 years after Sunday's 1-0 semi-final win over Southampton.
They host West Brom on Thursday sitting third in the Premier League, aiming to take a step closer to Champions League qualification.
Leicester have never won the FA Cup and, as they chase a top-four spot, Rodgers wants focus.
He said: “What is important is you can't be comfortable with it. It's been over 50 years since the club has been to the final but when that comes we want to win it. You don't soften up, we want to be here, we want to be challenging.
“We want to set our base camp towards the summit of this league so we can challenge and fight.
“There will be other teams who are always favourites but we are in it to fight to win it.
“It's great, you celebrate it but then you get in the next day, get focused and get working.
“There's been a great feeling over the last couple of days. I pulled everyone in on Tuesday, we had a day off on Monday, and spoke to all the staff at the training facility and said it's a victory for us all. It's not just the team, everyone, they are all connected to the success."