The Serie A giants endured a miserable 2013-14 campaign, eventually limping to an eighth-placed finish as both Massimiliano Allegri and Clarence Seedorf failed to kick-start their season.
Milan have shown signs of recovery in Filippo Inzaghi's first season as head coach, and they reached the mid-season break in seventh position - just two points adrift of Lazio in third.
And Netherlands international De Jong believes a club of Milan's stature must be playing in Europe's premier club competition.
"My goal this year is to reach the Champions League with Milan," he said at a sponsor's event in Dubai.
"That is where Milan belongs and is what we're going to try to do this year to reach those places.
"We have to work hard to reach those places.
"But with the confidence that we have and the work methods we use, we have to reach those places."
Milan, who defeated Real Madrid 4-2 in a friendly in Dubai earlier on Tuesday, return to Serie A action against Sassuolo on January 6.
