The Portuguese winger played a part in both legs of the quarter-final tie as Sir Alex Ferguson's side followed up their 1-0 victory at Stamford Bridge by winning the return leg 2-1.
And United go in Sunday's home showdown against the Blues on a high after clinching a place in the final at Wembley where they will meet Barcelona following their demolition of Schalke.
Nani now wants the team to continue their good work after the 6-1 aggregate victory over the Bundesliga side and end Chelsea's hopes of retaining the title.
United are three points in front with three games remaining and have taken 49 points out of a possible 51 at home this season.
Nani said: "The most important game now is Chelsea not Barcelona. It will be very difficult. But we are at home and we have had good experiences against them.
"We know if we want to win the game we have to play with confidence. The results against them in the Champions League were very good. I think that gives us the psychological advantage.
"We just have to concentrate on our football and winning the game. If we do that then everything will be fine.
"If we win this one then it is a great advantage for us. It is nearly over then. We have a great chance."
United are aiming to take Europe's top club prize for a fourth time after first winning the trophy at Wembley in 1968 when they defeated Benfica.
Nani added: "It is very important to be all together. It would another fantastic story for this club if we win at Wembley."
Rooney missed training on Tuesday after reporting for duty with a tight hamstring and was not named on the bench against Schalke.
Evra was introduced as a second-half substitute then took a knock but shook it off as he was about to be replaced.