The Blues have been the nearly men of the Champions League for the last six years, being knocked out at the semi-final stage on four occasions and, having at last managed to get through to the final in 2008, losing on penalties to Manchester United.
This year looks like being another good one in Europe for Chelsea, who under boss Carlo Ancelotti have won all three of their Group D games without conceding a goal and have the chance to book their spot in the last 16 with a victory over Atletico Madrid at the Vicente Calderon.
Cole sees no reason why they cannot go all the way this time around.
"Obviously the Premier League is very important, but for this club the Champions League is a massive target for us. We've not won it yet," said Cole. "We've come close over the last five years and we probably should've won it on a few occasions.
"We have the right people in charge, we have the experience now and we have to come to places like this and win, that's the challenge for us."