The attacking midfielder did not collect a top prize with any of the teams that he represented in his native Spain.
Speaking ahead of his side's Capital One Cup clash with Liverpool tomorrow night, the 26-year-old has admitted that it would be nice to break his duck this season.
"Of course, to play at Wembley would be amazing, but that's a long way off at the moment," he told the club's official website. "But I am yet to win a trophy in my career, so to win this competition would be very special myself and the club."
Michu joined the Swans in the summer from Rayo Vallecano.