Zabaleta admitted Manual Pellegrini's side, although Premier League champions, are still short of being able to compete for European football's elite club prize.
"No, it takes time, it takes time," said Zabaleta. "We know that we are a team, a club that has been improving these last few years.
"But in this competition you are playing very the best teams in Europe. We are improving year by year, we have a great team, with great players, but to win this competition is very difficult.
"It's one of the competitions we would like to win, but we have to work really hard to win it.
"We have to keep working hard try to win games and try to learn from our mistakes in Europe."
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