Manchester City won the Premier League by 12 points, collected the Carabao Cup and reached the FA Cup semi-finals.
Premier League champions City are hoping to cap a memorable season with victory over Chelsea in Europe’s showpiece club match in Porto on Saturday.
Full-back Cancelo said: “In the Premier League you play for three points. If you lose one game, you can win the next three or four and get a winning streak.
“In the Champions League, you win or you are out. Mentally, it’s difficult to handle.
“The Champions League is another adrenaline. I feel different adrenaline in every training session this week – but I guess it is normal for the size of the game on Saturday.
“My team-mates and I want to make history in this club. We’ve worked hard every day during a whole season to get to this moment, so it’s the realisation of a dream, being in this final.”
City made an uncertain start to the current campaign as they won just three of their opening eight Premier League games.
They turned that around in impressive fashion to launch a strong challenge on four fronts.
As well as their superb European run, they won the Premier League by 12 points, collected the Carabao Cup and reached the FA Cup semi-finals.
After a frustrating first season at the club last term, the versatile Cancelo had a big hand in that. Not only has the Portuguese impressed as a traditional full-back on the right or left, in defence and attack, but also stepped inside to operate as an additional midfield playmaker.
The 26-year-old said: “I wasn’t used to playing inside but today I feel I’m a more versatile player, I can do more things on the pitch.
“I feel in that position I contributed to the success of the team. At the beginning of the year, we didn’t get the results we expected, so I think my change of position helped to shake up the team.
“We can wrap up an incredible season if we win the Champions League. It can be an unforgettable season.
“Everyone of us dreams about playing a Champions League final. It’s a dream come true for every football player. To me, it’s a dream of childhood.”
Fellow Portugal international Ruben Dias has also enjoyed a highly impressive campaign, his first at the club following a club record £63.4million move from Benfica last summer.
The condensed schedule may have made for a draining season but, with a Champions League final to come, Dias insists he is not feeling it.
The 24-year-old said: “I think we couldn’t be more fresh. Obviously, we’re all very happy for what’s happened (this season) but we all know how special the Champions League is.
“We’re fresh because we want it so much. Almost everybody has dreamed of winning the Champions League. I think it’s the biggest competition.”