The Iron claimed a dramatic penalty shootout win over MK Dons to book a trip to Wembley and Hayes believes they are more than capable of recording their third successive victory over the Lions.
He told the club's official website: "We're very confident going to play Millwall at Wembley.
"We've beaten them twice and know their strategy and how they approach games.
"They want to win like we do and we're very much looking forward to it.
"We can't wait and it will be great to make up for the Johnstone's Paint Trophy final defeat in April."