The Magpies face Ukrainian side Metalist Kharkiv at St James' Park on Thursday, when a win would put them in good stead to progress to the last 16.
Alan Pardew's side have gone 44 years without winning a trophy but Sissoko is already eyeing up European success.
"It's very important. I came here to win things and this gives us the chance to do that. For us there is everything to play for in the second half of the season," he told The Newcastle Chronicle.
"It's great to get such a good welcome. Everybody on the team wants to give the fans more to cheer about. With this crowd behind us we can win any game at St James' Park. Anything is possible with our fans behind us.
"I always try hard to give the best account of myself in each game no matter what competition. But we can't forget that it is about team performance. We all have to perform together. The new players bring a boost to us."
He also spoke about dealing with the change of leagues, saying: "The intensity of the game is a lot different to Ligue 1. But I followed the Premier League in France, and knew it was intense, I wasn't surprised. Now I just focus on my game."
Sissoko has become an instant hit at St James' Park since joining from Toulouse and he is hoping that he can continue to live up to the reputation of the number seven shirt once donned by Kevin Keegan.
He explained: "When I arrived in Newcastle, I was told that many great players had done very well for the club wearing the number seven shirt. But I'm not giving myself any added pressure with that. I'm just going to go out there and play my own game, give as good as I can, and give the best performance I can.
"Obviously, wearing the number seven shirt, for me, doesn't really change anything. I'm here, I want to play well, and I want the whole team to do well."
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