Di Maria is expected to feature in Lisbon on Saturday as Real take on city rivals Atletico Madrid.
It is the first time in 14 years that two Spanish teams have contested the final of Europe's premier club competition.
"I think a 'Spanish final' shows the development of Spanish football, the power which it has in the last years," said Di Maria at an Adidas event in Valdebebas.
"It is going to be a nice and tough final against Atletico Madrid and we will try our best."
"I think it is a big joy for Spanish football and for the Madrid region," Morata said. "I feel so proud, I was born here and It is going to be so nice.
"I think the final will be very competitive. Two teams which have been very good, especially in this competition. Hopefully we will win."
