Inter suffered a 1-0 defeat to Manchester City in Istanbul in the final of Europe's elite club competition last season, following a second-half goal from Rodri.
"(Last season's run to the final) was a great journey; this year it starts again against a strong team," Inzaghi told reporters on Tuesday.
"We will play it like last year, knowing that it will be difficult to repeat what we did, but that we want to try again."
Inzaghi's side have started the season exceptionally well, securing four wins out of four in Serie A to top the table with a two-point advantage over second-placed Juventus.
Inzaghi emphasised how Inter's mentality has grown stronger as a result of their efforts last season.
"It was a wonderful ride, without forgetting that difficult group that we had to overcome. Now comes the difficult part, but the boys know that by all working together, we can do excellent things," he said.
In contrast, Sociedad have made a lacklustre start to their domestic campaign and find themselves in 11th place in LaLiga with just six points from five games.
Inzaghi cautioned that Sociedad, who finished fourth last season, presented a significant challenge to Inter.
"They’re a very organised team, with a coach who has been there for many years, with many players who have remained," he said.
"The result cannot be predicted, we know that it will be a difficult, intense match, because Real Sociedad are an intense team, with excellent players, good, strong, technical.
"We will have to be good at helping ourselves and defending together, then attacking as a team."
Inter are in Group D along with Sociedad, RB Salzburg and Benfica.
