The defending German champions will take on Malaga in the quarter-finals of Europe's premier club competition, the first leg of which will be played in Spain on Wednesday.
"Yes, of course we could win it," he told reporters. "I believe we can do it because we have done well to come this far.
"Malaga are next and at this stage of the Champions League you have the ability to win it. Everything feels possible now. But Malaga are a good side. Small things will decide the outcome but we can definitely go much further.
"I've never played in London before. That would not be a bad way to start a game in London - with a Champions League final."
Dortmund last won the Champions League in 1997.