The enigmatic Frenchman signed for the Turin giants last month, and although he already has one Champions League title to his name, he is determined to add another before he hangs up his boots.
"One of the reasons I joined Juventus is because I believe we have the quality to win the Champions League this season," he told the Daily Record.
"It's been 13 years since I won the Champions League with Real Madrid and it is a dream to add one more before I stop playing."
Juventus' last-16 opponents Celtic have been one of this season's surprise packages, and the former Arsenal and Chelsea striker is wary of the threat they will pose when the two sides meet at Parkhead next week.
"It will be a tough game in Glasgow. It is one of the most famous and intense football cities in the world," Anelka added.
"Their fans have waited a long time to be back in the knockout stages, and they will be ready for this.
"But from my first training session with Juventus it was clear there is the quality of player and determination to win the competition."