Atletico won their last silverware in 1996 when they landed a league and cup double in Spain. Since then, they have employed 12 coaches, spent two seasons in the second division and endured several more years of mid-table mediocrity.
"We are playing in a big team but we are not worried about making history, we just want to do our job well," the Uruguay striker told reporters.
"We have worked hard this year, there have been some good moments and some bad moments.
"It's difficult to imagine how the game is going to go, you can imagine the atmosphere in the stadium but not the game itself," said Forlan, scorer of both Atletico's goals in the two-leg semi-final against Liverpool.
This season initially appeared set to dish up more of the same for the Madrid side who were in the relegation mire and made a quick exit from the Champions League.
But fortunes turned when Quique Sanchez Flores was appointed coach in October and they could finish with two trophies if they win on Wednesday and beat Sevilla in the Copa del Rey final next week.
"I'm always an optimist," said captain Antonio Lopez, who has spent all but two years of his career at the club.
"We still have 90 minutes to play and it requires a lot of effort and a lot of sacrifice.
"A few months ago, we weren't getting the results we wanted but we have stuck together, we have always been united."
