Cavani scored twice as PSG claimed the Coupe de la Ligue crown for a record fourth time following their 2-1 victory over Lyon at the Stade de France on Saturday.
Saturday's result ended a frustrating fortnight for PSG, who were bundled out of the UEFA Champions League by Chelsea and tasted defeat at the hands of Lyon in Ligue 1.
"The Coupe de la Ligue was an important goal for us," the Uruguayan said post-game.
"We wanted to get out of this difficult period with a good win. We are very happy to have done that.
"I'm very happy to have scored and I thank my team-mates."
PSG were 2-0 ahead after half an hour in Paris but were forced to endure a nervy finish when Alexandre Lacazette pulled a goal back for Remi Garde's side with 34 minutes remaining.
French defender Christophe Jallet said the match brought back unwanted memories of the club's 2-0 loss to Chelsea at Stamford Bridge on April 8.
"It was a match like the one against Chelsea," he said. "We waited until that 87th minute had gone by. They didn't have too many chances.
"It's a shame to have conceded that goal, we gave ourselves a scare for nothing.
"Right from kick-off you could feel the tension. We were frustrated. We didn't know what to do after we scored, but we played with freedom and we won."
The French giants remain on track to clinch the league and cup double with Laurent Blanc's men 10 points clear of Monaco at the Ligue 1 summit with five matches remaining.
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