The Swans, who have recently been on a training camp in Dubai, face League Two side Bradford City at Wembley Stadium on February 24 in what is their first major final in 49 years.
"It was a perfect environment for us to train and also get some rest before two big games, but we cannot think about the final when there is Liverpool to play first," Ki told Sky Sports News.
"The next game is always the most important one especially when you are going to Anfield. We beat them in the cup and it would be great to get one over on them in the league.
"We want to keep the confidence and good atmosphere in the squad before the final, and the best way to do that is to perform well and hopefully get a result."
Ki joined Swansea on a five-year deal from Celtic in the summer.