The Blacks Cats defeated Manchester United on penalties over two legs in the semi-finals and will take on Manchester City in the final in March.
"Can we win it? Of course we can, why not?" he told Sky Sports News.
"It will be an incredible task, hope they have a bad day and take our chances but the fans deserve this day.
"To have a day of football like this is great for everybody, great for football too. Let's see if we can go one better."
City defeated West Ham United over two legs in their semi-final tie.