Emery had a shot at European glory last season but Valencia bowed out at the first knockout stage after falling to German Bundesliga outfit Schalke.
Having guided the club to yet another Champions League campaign after finishing third in La Liga last term, Emery has now set his sights on going all the way.
"I have the dream of winning the Champions League," Emery said at this pre-match press conference, ahead of the club's game against Belgian side Genk.
"Valencia give me that possibility.
"Our goal is to go step by step, and the dream is to win the Champions League someday."
Having recorded a hard-earned win over Atletico Madrid in the league on Saturday, Emery admits he may be forced to make a number of changes for Tuesday's game.
"There are some players who were tired after the match [against Atletico] and will not be in the best condition.
"There will be other players who we hope will be in a better condition."
And while Valencia are favourites to record a win against Genk, Emery has cautioned his players not to get ahead of themselves, and only stressed the importance of claiming as many points as they can.
"This match is very important, there will be 18 points up for grabs in the group stage and on Tuesday, we will be playing for three of them.
"We cannot let go the opportunity to make the first step.
"We have to expect a very strong Genk team and respect that in order not to slip."
Group E's other game will see Chelsea lock horns with Bundesliga outfit Bayer Leverkusen at Stamford Bridge.