Victory for the Tigers saw them finish top of Pool 2 and knock four-time winners Toulouse out of the competition.
"This team wants to make its own history," Cockerill told Sky Sports News. "This club has a rich history and there is a lot said about players in other eras. Today, this team knocked Toulouse out of the Heineken Cup.
"We won a really tough pool, the players should be congratulated for that and we should get some credit for that."
Leicester will make the trip to Toulon in the quarter-finals of the Heineken Cup in the first week of April.