The Basque club, coached by the eccentric Marcelo Bielsa, are aiming for a meeting on May 9 against Atletico Madrid or Valencia, who start the other semi-final at the Calderon on Thursday.
Goikoetxea was part of the Bilbao side knocked out of the old UEFA Cup by Sporting 27 years ago, the only previous meeting between the sides.
"It will be tough but I'm optimistic because I think Bilbao are a better team, and for this reason I'm convinced they will play the final," the former Spain international told sports daily Marca.
"This team has the chance to make history. They already have a King's Cup final [against Barcelona next month] and we'll see what happens in the Europa League."
"Bilbao have a clearly defined style and they never go out to defend," Goikoetxea added. "They are very quick, and are very strong down the flanks.
"Their best games have been against the big clubs, especially against Manchester United, and for that reason they have won European-wide recognition."
"We did not concede any goals against Manchester City and then scored away and that is fundamental in the knockout stage," Sporting's Brazilian midfielder Elias told the club website.
"We must defend well at home, look to score and then, with the quality we have, I am sure we will get away goals."
The Madrid club have strung together nine consecutive wins in Europe and in Radamel Falcao have the tournament's second highest scorer with eight goals.
