The Spain international played a key part in Real Madrid's triumph on the continent last term, scoring three goals in his nine appearances in the competition.
Morata, who also featured in the final as his Juventus side went down 3-1 to Barcelona in 2015, is hoping to make it all the way once again this term on Chelsea's return to UEFA's premier competition.
"It's an incredible competition," he told the club's official website. "With all the teams I've played for in the Champions League, I have reached the final and I hope to do so this year too.
"It's very difficult to win the Champions League, but I think we have a good team, and with a good mentality we can do good things."
Morata has three goals and two assists for Chelsea since joining from Madrid in a club-record deal in the summer, but he was an unused sub as they beat Qarabag 6-0 in their Champions League opener in midweek.