The Citizens have struggled in their three previous campaigns in the tournament as they have failed to advance beyond the first knockout stage, but the Argentine believes that they have shown progress this season.
Zabaleta told reporters: "No, it takes time, it takes time. We know that we are a team, a club that has been improving these last few years.
"But in this competition you are playing very the best teams in Europe. We are improving year by year, we have a great team, with great players, but to win this competition is very difficult.
"It's one of the competitions we would like to win, but we have to work really hard to win it. We have to keep working hard try to win games and try to learn from our mistakes in Europe."