The Norway striker will line up against Inter Milan in Istanbul on Saturday as Pep Guardiola's side look to complete the treble.
But Haaland is acutely aware that City won both the Premier League title and the FA Cup before he arrived from Borussia Dortmund last summer and said his job is to win the Champions League for the first time in the club's history.
"Of course I feel pressure," Haaland said. "I would lie if I said I didn't. You say it yourself and it's true, they won the Premier League without me, they won every trophy without me. So I'm here to try to do a thing that the club has never done before and I'll do my best.
"The Premier League, they won it two times in a row before I came here. So they know how to win the Premier League. The only thing they miss now is the Champions League, you can think and read between the words, and the lines, I have been coming here for a reason."
The 22-year-old is the top scorer in the Champions League this season with 12 goals. He's had a record-breaking first season in England, although the goals have dried up recently with just one in his past seven games. Haaland, though, is choosing to look at it differently.
"You can think of it as one goal in seven games or 52 goals in 52 games and eight assists, I think," he said.
"You can think of it in both ways. I'm not stressed. I feel really good. I didn't expect to score this many goals but, again, I could have scored more. I've been missing a lot of chances, so I could have scored more. That's the truth."
Despite scoring 36 goals in the Premier League and more than 50 in all competitions, Haaland has, at times, been criticised for having too few touches during games and failing to get involved in City's build-up play.
The 22-year-old says he tries to block it out -- including the questions which followed a missed chance in his first City game against Liverpool in July.
"I think often it's a good thing when people start criticising you," said Haaland. "I scored every single game and then people started criticising me. That's what happened, basically. When people criticise you it's normally a good thing it's just about trying to smile a bit and enjoy life."
"The Community Shield, I missed a couple of big chances. It can happen, it will happen again. What can you do? Nothing. We have to focus on the next thing, the next game, and that's what I did. I scored two goals in the next game, so it was still not a bad start.
"There is one game left we have to perform at our best in. We have been doing it now for so many games in a row. It's about keeping going."
Meanwhile, Inter boss Simone Inzaghi told his Friday news conference that his side have a special plan to stop Haaland in Saturday's final.
"Clearly we know how strong City is and how strong a player Haaland is," he said. "We will have a special eye for him, but he is an attacking player and we have set up something.
"It will be the whole of Inter, but it is not just Haaland, but we have to concentrate on the whole of Manchester City."
ESPN's Mark Ogden also contributed to this report.