The Argentine stopper was one of City’s key heroes on a memorable night, saving a second half penalty from Radamel Falcao to prevent Monaco going 3-1 ahead and then producing another fine save late on to stop the visitors scoring a fourth goal.
But he said no-one at City was getting carried away with themselves ahead of the return leg in Monaco in three weeks time.
“It was a crazy game. Fortunately we won but we have to play against this fantastic team again,” said Caballero.
“We have to enjoy this but we don’t have anything yet. The most important thing is we recover our mentality and team spirit.”
Reflecting on the penalty save, Caballero modestly claimed that luck had played a key part.
And he insisted that City would learn the lessons from conceding three goals to a dangerous Monaco side.
“Fortunately for me and the team I chose one side,” he added.
“We studied Falcao and the rest of the penalty takers a lot and I have been lucky today to choose the right side.
“I made a mistake in the first goal and we have a lot of things to improve, but we never gave up and the team was strong today, even when we conceded easy goals. We stayed in the game and finish up winning the game.”