City missed out on a trophy last season and new manager Manuel Pellegrini wants to win everything available this campaign.
Zabaleta revealed that the disappointment last time around has made the team more focused.
"The manager told us that this time we must aim to win all four competitions," Zabaleta told The Mirror.
"The Premier League and the Champions League are the most important options for every team, but he is also serious about winning the FA Cup and League Cup. It's what you should be aiming for when you want to be the best.
"Last season hurt us. We finished second to [Manchester] United and lost the FA Cup final. That experience has made us more focused I think."
Manchester City visit Stamford Bridge to face Chelsea at 4pm on Sunday afternoon.