KANU wants to bid farewell to English football in style today - by collecting one final winner's medal.
The Portsmouth striker's bulging cabinet already includes two Premier League titles and three FA Cups since his move to Arsenal in 1998.
The veteran Nigerian is the most decorated African player of all time - having also won the Champions League with Ajax and the UEFA Cup with Inter, plus league titles in Nigeria and Holland.
Kanu, 33, who has offers from Australia and the Middle East, said: "This could be my last year in England so going back to Wembley will be special.
"The big stage is the best for a player and I'd say Wembley is the best one of all.
"It has been a happy place for me and hopefully will continue to be against Chelsea. They have some world-class players but it is a cup game and anything can happen.
"There is no point in us playing if we do not believe we will win.
"I've always adopted a positive attitude and I love being a winner.
"They are favourites but that means there is no pressure on us. We can go out and play with freedom."
Kanu wants a repeat of two years ago when he scored the winner in both the semi-final and final as Pompey lifted the Cup for the first time in 69 years.
He admitted: "It was special to me. It's something I believe the fans will always remember.
"To do that again would be magic - and magic can happen."
Kanu is also retiring from international football this summer.
He added: "I cannot play when I am 50.
"But I want to keep playing for one or two more years."
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