Los Blancos are one of the favourites to claim a 10th European crown this season, while they currently sit third in La Liga, three points behind leaders Atletico Madrid with seven games to play.
"In the league we have slipped to third because of two setbacks. The dream is La Decima (the 10th European Cup), but the league is a concrete objective," he told Radio Anch'lo Sport.
"The league is interesting because beyond the three teams at the top, there are teams like Athletic Bilbao who are very competitive.
"I have a strong team and complete - there are champions, experienced players and young people from the academy."
Madrid have been paired with Borussia Dortmund in the quarter-finals of the Champions League.