The 'Blues' lost 2-1 to Arsenal in last season's Wembley showpiece and speaking ahead of Manchester United's semi-final victory over Tottenham on Saturday, the Italian insisted that it was a game that the 'blues' should have won.
"Last season we missed a great chance to win the FA Cup and we could have done better," he explained.
"If we can win against Southampton and reach the final then I think it will be more difficult against Tottenham or Manchester United.
"Last season we were in the best condition to win the FA Cup but we missed that chance and it was our fault. At that moment we were stronger than them. This season it will be more difficult.
"I remember that some refereeing decisions weren't good because the first goal they scored was handball for Alexis Sanchez.
"We finished the game with 10 men and because of this we conceded the goal at the last. Arsenal did a great job to win the FA Cup."
Chelsea face Southampton in the second semi-final on Saunday, with the FA Cup top of Conte's list of priorities as the only trophy his side can still win this season.
"I play only to win and not to enjoy. I try to transfer this mentality to my players," Conte said.
"I start every season with just one idea in mind: to win. It's in my heart, mind and soul. It must always be this winning mentality.
"If I win something I did my job, I didn't do something special. If I don't win I'm very angry with myself, but am also ready to work harder to win something at the next chance.
"The FA Cup is an important competition to win because it means you're one of the best teams, but everyone wants to win and only one team can."