The Spanish champions progressed to the semi-finals of the competition on Tuesday with a 5-3 aggregate victory over Galatasaray in the last eight.
"We want to win the Champions League – we know it's difficult but for me it's possible," he told UEFA.com. "We have to carry on and the most important thing now is to win the semi-final because we want to be in the final; after that anything can happen.
"We have to keep our feet on the ground, though, as we'll be up against a tough team in the semi-final. [Borussia] Dortmund are a team I've always liked – one of the teams that I thought could go very far.
"There's us and them and we'll see who else comes through, but the most important thing is that we're there."
Madrid last won the Champions League in 2001-02.