Colback made his first appearance at the national stadium in Sunday's Capital One Cup final defeat to Manchester City.
But the 24-year-old hopes to help the Black Cats return to Wembley next month by beating Hull in this weekend's FA Cup quarter-final.
Asked if his experience of Wembley had made him hungry for more, Colback said: "Definitely, yes.
"That's the funny thing, if we win our next game, we will be back there in the semi-finals, so that's what we have got to aim to do."
Sunderland boss Gus Poyet has admitted his main priority this season is keeping the club in the Premier League.
They are currently 18th in the table, although they have a game in hand over their relegation rivals due to their appearance at Wembley last weekend.
But Colback is confident that they will avoid the drop if they can produce the same "hunger and passion" as Sunday's final, in which Sunderland led until 10 minutes into the second half.
He said: "If we apply ourselves like we did on Sunday, then the wins will come naturally.
"That's what we have got to look to do because we are still in an awkward position in the league and we need to win the games that we have to.
"If we apply ourselves the same way and have the same hunger and the same passion, then we should win the games comfortably that we need to.
"We still have 11, 12 games to go in the league, so we need to brush ourselves down now.
"We have got the FA Cup game on Sunday and then we have got to look to the league and win the games to keep us up."
Colback insisted he had enjoyed his first outing at Wembley despite ending up on the losing side.
He added: "It was brilliant, different to any game I have ever played. Just coming out for the warm-up, the atmosphere was brilliant.
"Our fans were absolutely outstanding. We were just sorry that we couldn't bring the cup home.
"Even at 3-1 down, they were singing their hearts out and even coming to the stadium, you couldn't see one Manchester City fan, but there were thousands and thousands of Sunderland fans.
"It gave the lads a lot of inspiration. We are just disappointed that we couldn't repay that with a win."