Gladbach will visit Kickers Offenbach in the DFB Pokal round of 16 on Wednesday with Favre's men widely expected to progress past the fourth-tier club.
For many clubs, the German cup represents the best opportunity to qualify for the UEFA Europa League but Favre is more interested in the glory.
Although no club outside of Bayern Munich, Borussia Dortmund and Schalke have won the DFB Pokal in the past five seasons, Favre has clearly targeted the title for Gladbach, who have not claimed a major trophy since winning the same competition in 1995.
"The DFB Pokal is not only the quickest way into Europe but also the quickest way to pick up a trophy," the Swiss coach said on Tuesday.
The DFB Pokal champions qualify for the UEFA Europa League, while that honour can be bestowed on the runners-up if the winners reach the UEFA Champions League through the Bundesliga.
While Favre may be dreaming of the final in Berlin on May 30, Offenbach still have to be dealt with and the 57-year-old refused to underestimate the Sudwest Regionalliga leaders.
"The standard of football in Germany is very high," Favre said.
"Offenbach are a very good fourth division team. They play good football, are tactically astute, including being able to switch between different formations, and very well organised."
Thank you for reading 5 articles this month* Join now for unlimited access
Enjoy your first month for just £1 / $1 / €1
*Read 5 free articles per month without a subscription
Join now for unlimited access
Try first month for just £1 / $1 / €1