Palace go into their Wembley date with Watford on May 27 as underdogs, but this tag doesn't faze the 23-year-old Congolese international.
He told Sky Sports News Radio: "Our team likes being underdogs. It's been like that pretty much the whole way through the season, and to come out on top against Brighton was a fantastic achievement because it was a derby as well.
"There's no fear. The likes of me, Johnny [Williams] and Wilfried [Zaha] just keep going till the final whistle."
Zaha, who is heading for Manchester United in the summer, netted both goals in the 2-0 victory over Brighton, and Bolasie spoke highly of his team-mate.
He added: "He did terrifically well, there was a couple of fouls he didn't get during the game, but he kept his head, kept going and eventually got the two goals he deserved. Hopefully he can do it again in the final for us."
Despite the possibility of top-flight football, Bolasie, who has spent a year of his career in Malta, knows it won't be easy against the Hornets.
"That's another tough game. They beat us at the start of the season and we drew 2-2 at their place, so anything can happen, but it might be our turn to win," he added.
"The play-off's are a lottery, so during the 90 minutes you'll always have a chance of winning it."