Los Che went down 1-0 to Atletico Madrid in the second leg of their semi-final on Thursday to go out 5-2 on aggregate. leaving them with just third place to play for.
They are just three points ahead of Malaga in fourth and Soldado knows the importance of bouncing straight back to winning ways with four games left to play.
"We are focused. Malaga are our closest rivals and the team cannot let things slip, we have to recover," he was quoted as saying by www.as.com.
"Sunday is the first final to achieve our goal."
Valencia boss Unai Emery echoed his player's words.
He added in quotes reported by EFE: "Now we must focus on the primary objective of qualifying for the Champions League, which is important but does not generate as much excitement as a final."
Emery refused to be drawn on his future amid speculation he will leave the club in the summer.
"This is not the time to talk about my future," he said.
Malaga go into the game looking for their first win in three games, but defender Martin Demichelis is looking forward to the contest.
"These are the kind of games we like," the Argentinian said on www.as.com. "The nervousness will be palpable, but it will be a healthy nervousness."
Valencia, who won 2-0 in the reverse fixture earlier this season, will be missing playmaker Sergio Canales, who is set to be sidelined for six months after suffering his second serious knee injury of the season against Atletico.