The Blues have reached the semi-finals in their first season in European competition and face three-time winners Lyon over two legs.
Despite their inexperience in the tournament, Lloyd says she has witnessed enough in her short spell at the Club to instil confidence of success.
However, the USA skipper warned her side to focus on the task at hand and try to suppress thoughts of the final in Cardiff.
“It’s going to be a fantastic game,” she stated.
“We’re dying to get to the final but we have to concentrate on these semi-final matches.
“We haven’t won anything yet. No-one crowns the semi-finalists a trophy. We’ve got work to do.
“We’ve reached the FA Cup final and now we shift our attention to the Champions League – we’ve got two legs and the first one starts at home on Saturday.
“It’s onto the next one. Footballers are constantly moving on to the next best thing and that’s what we have to do.
“Playing in World Cups and Olympics is great but Champions League is also pretty amazing. I’m glad to be able to help boost City along.
“You wouldn’t be a footballer and competing if you didn’t think you could win it.
“We know we can. I’ve got the belief. We have a quality side with depth and the players to do it.
“We have to believe in ourselves and not get too far ahead of ourselves.”
The semi-final tie will see Lloyd lock horns with USA teammate Alex Morgan, but the City star insists all friendships will be left on the sidelines.
“I only compete against myself,” she stated. “It’s the way I’ve approached my entire career.
“Alex is on the other squad but I’m competing against my last performance and worrying about what we can focus on.
“If we stick to that, we’ll be alright.”
City’s 1-0 win over Liverpool on Easter Monday booked the Blues’ place in their first FA Cup final at Wembley.
Lloyd has fond memories of England’s national stadium, having scored twice in the Olympic final triumph over Japan there in 2012, and is hoping to create more memories with Nick Cushing’s side.
She continued “This is my first FA Cup and I’m thrilled to be here. The team put in the work before I came here. It’s going to be a great match.
“I’m looking forward to it. I love playing in big games and big moments.
“Wembley is going to be an unbelievable game but you have to take it one game at a time and the Champions League is our current focus.”
#FAWomensCup final ☑️
— Man City Women (@ManCityWomen) April 18, 2017
Thanks for your amazing support. Next up... a @UWCL semi-final against @OL!
🎟 https://t.co/mP5GH7cgSt #mcwfc pic.twitter.com/v7o9s36zHY