Not winning the Champions League this season would be a big disappointment for Atletico Madrid, according to president Enrique Cerezo.
Atletico are seeking a maiden Champions League title as they prepare to go head-to-head with city rivals Real Madrid in Saturday's final.
Diego Simeone's men have continued to defy the odds this season, seeing off defending champions Barcelona and Bayern Munich en route to the decider in Milan, but Cerezo insisted the job is not done.
"We have to win on Saturday," he told Radio Marca. "Not winning would be a huge disappointment.
"We have to win by fair means or foul - we just have to win."
Atletico, who ended the La Liga season in third position, are two-time runners-up in the European Cup-Champions League, having lost to Madrid in the 2014 showpiece after extra time.
The Spanish capital club also fell at the final hurdle against Bayern in 1973-74.