The Chelsea captain has won a number of honours during nine years at the London club but is yet to get his hands on the biggest European prize of them all. Azplicueta remains hopeful of landing the trophy at the Blues and is not ruling out a tilt at glory this season.
He told Chelsea's website: "It’s the biggest trophy, and being a Chelsea player you have the biggest ambition for trophies.
"That’s one that I would like to achieve. We know it’s a new competition that starts in February, seven games, and every detail counts."
Azpilicueta hopes that Frank Lampard's side have learnt lessons from their last 16 exit to eventual winners Bayern Munich last season.
The full-back said: "We have to learn from the Bayern Munich games last season, make it right and hopefully go as far as possible."
Azpilicueta joined Chelsea from Marseille in 2012 and admits that he never imagined becoming a stalwart at Stamford Bridge.
He explained: "You couldn’t imagine it then. When you first sign, you see such great players who have won the Champions League, you just want to be part of it and win trophies. I won trophies with Marseille but this was a step forward.
"I try to improve. I always analyse my game, and am sometimes harsh on myself. As a perfectionist you always want more. To be the captain now, I’m really proud, but if you had asked me that back in the day, it would have been difficult to predict."