City will be favourites against the Italian side, a situation they also found themselves in against Chelsea in the final two years ago, only to surprisingly lose.
This time City are even bigger favourites to deliver and Dias said they will embrace the opportunity to finally clinch the trophy that has proved so elusive since Sheikh Mansour began bank-rolling City's domestic dominance in 2008.
"We love the pressure, we love it, the pressure will make you run faster, jump higher, be more focused, that's what these kind of games needs," he told reporters.
"We need to embrace it. We enjoy the moment, we know what it means to the club, the fans, our families and we never forget to enjoy it."
Portuguese defender Dias said the leadership qualities of the squad have helped City churn their way to a domestic double, relentlessly hunting down Arsenal in the Premier League and seeing off Manchester United in the FA Cup final.
"You can see the character of a team in these stages. You can see whether they want to move forward or starts hiding," he said.
"Our team shows up every time and tomorrow will be no different. We've got five captains but all of us are kind of captains on our own and we can step up when the time is right. It's a special characteristic our team has."
City playmaker Kevin De Bruyne (31), a prominent member of City's leadership group, will be expected to supply the ammunition for Erling Haaland (22) on Saturday, as he has done all season as the Norwegian plundered 52 goals in 52 games.
Asked if it was 'love and first sight' when Haaland joined the club, Belgian De Bruyne said: "No, I'm happy with my wife! I don't know. It's something I can't explain, sometimes you have a feeling with a player and you just understand what he wants.
"We just clicked really well and he just started scoring at an incredible rate and he's settled with the team, he's been important to us in different ways."
