They face Premier League side Chelsea in the Champions League last 16 next month, with Simeone and his players looking to reach a second successive quarter final.
Despite reaching the knockout stages of the competition in six of the last seven seasons, Atletico have failed to show their best in the business end of the tournament, and Slovenian international Oblak wants that to change.
“In the Champions League I have suffered the worst defeats I remember,” he told an interview with Mundo Deportivo.
“I don’t know if I will win the Champions League, but every season gives you a chance to win it.
“When the season starts we are all at the same point in the group stage.
“Hopefully we have a chance to win it. There would be nothing more beautiful than lifting a Champions League with Atletico.”
Oblak has played a key role in Atletico’s excellent start to the season with 18 league starts and 11 clean sheets.
The 28-year old is on course to clinch a fifth Zamora Trophy (awarded for the most clean sheets in a La Liga season) after winning four consecutive titles between 2016 and 2019.