Los Blancos lost in the final of the competition to Atletico Madrid last season, but Casillas is keen to avoid a repeat when the capital outfit face Barcelona at the Mestalla.
"Everyone wants to win, not just me," he told reporters at a press conference.
"The side have had a great Copa campaign and it would be the icing on the cake.
"It won't be easy, it will be a vibrant game, with great players and we are confident that we can win and in our way of playing. We believe that we can do it."
Madrid have won the Copa on 18 occasions.