"It's a competition that we really targeted as an objective at the start of the season," explained Lyon's number nine at a press conference on Thursday.
"It's a date we had ticked off our calendar," added Couilloud, who won the competition with Lyon in 2022.
In their domestic league, LOU sit in eleventh place and have little chance of qualifying for the Top 14 finals with just two rounds remaining.
With that in mind, the players are looking forward to the final with "a lot of excitement".
"I think these are the moments you dream of playing rugby for," said Couilloud.
As well as a title, the trophy gives the winner an automatic ticket to the Champions Cup - the most prestigious of continental competitions.
"We're more in the position of the wolf on the prowl... the underdog," said the Lyon native ahead of their clash with Bath, leaders of the Championship and whose ranks include Scottish star Finn Russell.
"He's someone we're used to playing in our league, having played for Racing 92 for a long time," said Couilloud of Russell. "He's someone we know, and we know what a threat he can be."