The Swans progressed to the last four with a nervy 1-0 defeat of Middlesbrough at the Liberty Stadium and Laudrup admitted they weren't at their best.
"It was a very tight game," Laudrup said. "It wasn't a brilliant game to watch for the neutral, but it was a tight cup game.
"Everybody had the right attitude, everybody wanted to win, but I think they wanted it too much (in the first half). When you want something too badly, you can't do exactly what you usually do.
"Middlesbrough put pressure on us, but in the second half we came out and played much, much better. We were more relaxed and took control of the game.
"For smaller clubs to go in and play a final or just to have that dream to go in and play that final, looking at the trophy waiting there for the winner, I think it's just fantastic.
"The great thing about Cup games - especially when it's only one leg - is that everything can happen.
"The greatest example of this we saw on Tuesday, a team from League Two beating a Premiership team - and a big one. I think that can only happen in one-leg Cup games and it's great to see."