Morata reached the final for the first time in 2014, winning the trophy after a 4-1 thumping of Atletico.
The next season saw the Spain international line up with Juventus, unfortunately losing the showpiece event to Barcelona.
Morata, who won another UCL with Madrid at the expense of Juventus, is hoping to reach another final with Chelsea.
“It’s an incredible competition,” the 24-year-old told the club’s official website.
“With all the teams I’ve played for in the Champions League I have reached the final and I hope to do so this year too.
“It’s very difficult to win the Champions League but I think we have a good team, and with a good mentality we can do good things.”
Morata added: “At the moment, I’ve only scored and assisted with my head for Chelsea, so I hope to use my feet as well soon!
“But it’s true that English football is different to Italy and Spain. You don’t have much time to calm down, or relax, because all the time the ball is on fire! You need to be in good condition to play here and approach every match with a good mentality.
“In terms of the marking, it is probably the same here as in Italy with the teams that are maybe not at the top of the league – those teams are compact and it’s hard for us sometimes to break them down. But when the other team wants to play with the ball, you can find space. That’s when you find the spaces to attack the other team.”
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