The 2018-19 final of the European tournament will take place at the Wanda Metropolitano, the home of Los Colchoneros.
Atletico have reached the final twice this decade, but city rivals Real Madrid ran out winners over Diego Simeone's side in both 2014 and 2016.
"It will be a goal for us this season," Lemar, who was presented as an Atletico player on Monday, told reporters.
"I think we will do the best we can to go as far as we can in the competition and hopefully win it since the final this season will be at home."
Atletico have never won a Champions League title but triumphed in the Europa League final last term.