The Foxes are 50/1 to lift the trophy, something Morgan has not discounted after their miraculous Premier League title triumph.
"Why not? Nobody thought we could win the Premier League," he said. "We know it's not going to be easy but we proved last season how good we can be on our day. We need to take that into this competition.
"Being involved in European competitions is something new to all of us. We will feel our way through the games. Our style is different and I'm not sure teams will be prepared for that, but we will see."