The Nerazzurri were beaten two seasons ago by Manchester City in the hard-fought final in Istanbul.
“Everyone thought City would score four goals against us, but we played really well and deserved to draw, and then even win,” Mkhitaryan told Il Corriere della Sera.
“Returning there would be a dream, although the road is longer than it was two years ago. But we believe in it: we’re confident we can get there again.”
On this season's form, he added: “The comparison is with last year’s Inter, but we’re doing our best and giving 100%.
“We know we’ve conceded a lot of goals and haven’t taken full advantage of our chances, but we’re working to get to the level of last year. Many teams want to win this league, and we’re among them.
“We’ve dropped points we shouldn’t have lost, otherwise we’d already be at the top. We know it’s a different season and we need to do better. I’m confident.”