Rovers did help Wigan reach the 2006 Carling Cup, although the game came too soon for the New Wembley to be built and was still being played at Cardiff's Millennium Stadium.
Blackburn have two chances to reach Wembley this season as they take on Aston Villa in both the FA Cup and League Cup.
Sam Allardyce's side have a tricky-looking game against high-flying Villa in the third round of the FA Cup before a two-legged semi final against Martin O'Neill's troops in League Cup action.
Roberts loved helping Wigan reach the 2006 final and believes it would be good for Blackburn to go as far as they can in both cup competitions this season.
"Having been involved in cup runs it's always nice to have something to aim for and also the opportunity to play in a final or the semis," he told skysports.com.
"It's something you want to do when you dream of playing football. I want to progress in as many cup competitions as possible.
"It's a great day out. It's great to go and play in these competitions. I've had some of the best times in my career in these competitions, be the FA Cup or the League Cup. I'm really excited about where we are the moment.
"I was brought up not too far from Wembley so it would have been great for me to play at Wembley, but I never did.
"I still want to play at Wembley if possible and win in a final. We didn't win that time. I'd love to go back and win it this time. Even in the lower leagues in a play-off or something, so I'd love to play there and win though."
With the games for Blackburn coming thick and fast Roberts, who has been in and out of Allardyce's starting XI this season, believes Rovers' squad will be utilised.
"It's tough because obviously of the situation we find ourselves in league. I think the manager might make some tough decisions," he continued.
"We've done great in the league cup and to be in the position we are right now. I think it's hard, but I think he might make some changes and try and use the squad to keep us in all three competitions.
"Who ever goes out there will be really focused on getting through because the FA Cup is a special competition.
"[Villa] have got a really good side. It's a tough time to play them as they'll be more focused as they haven't won for a while. I'm sure they'll be going 110 per cent going into the game."
Aston Villa 4/7, Draw 13/5, Blackburn 11/2