The 24-year-old was part of the Black Cats side which threatened to cause a major upset before going down 3-1 to Manchester City in Sunday's Capital One Cup final.
However, they could be back at English football's headquarters within a matter of weeks if they beat Hull in this weekend's FA Cup quarter-final.
Asked if his experience of Wembley had made him hungry for more, Colback said: "Definitely, yes.
"That's the funny thing, if we win our next game, we will be back there in the semi-finals, so that's what we have got to aim to do."
In the longer term, Sunderland's main focus will be the fight for Barclays Premier League survival, a process which will resume when Crystal Palace head for the Stadium of Light on March 15.
Gus Poyet's men are currently in 18th place in the table and a point from safety, although they have at least a game in hand on all their closest rivals.
However, Colback is confident that, if they can produce the level of performance they did to leave City trailing until 10 minutes into the second half in the final, they will get themselves out of trouble.
He said: "If we apply ourselves like we did on Sunday, then the wins will come naturally.
"That's what we have got to look to do because we are still in an awkward position in the league and we need to win the games that we have to.
"If we apply ourselves the same way and have the same hunger and the same passion, then we should win the games comfortably that we need to.
"We still have 11, 12 games to go in the league, so we need to brush ourselves down now.
"We have got the FA Cup game on Sunday and then we have got to look to the league and win the games to keep us up."
If Sunderland headed back to Wearside disappointed, they did so with their heads held high and with their fans having turned out in force to witness the club's big day.
It was a new experience for academy graduate Colback and one he thoroughly enjoyed despite the eventual outcome.
He said: "It was brilliant, different to any game I have ever played. Just coming out for the warm-up, the atmosphere was brilliant.
"Our fans were absolutely outstanding. We were just sorry that we couldn't bring the cup home.
"Even at 3-1 down, they were singing their hearts out and even coming to the stadium, you couldn't see one Manchester City fan, but there were thousands and thousands of Sunderland fans.
"It gave the lads a lot of inspiration. We are just disappointed that we couldn't repay that with a win."