The France coach wore the skipper's armband when the hosts lifted the 1998 World Cup and again when France claimed the European title two years later in Rotterdam.
Asked if a final should be treated as a unique moment or as a routine match, he said: "A bit of both. It's an exceptional moment because there's a title at stake but you must not think too much about it.
"What you need to do is approach it as relaxed as possible while being at the same time totally focussed on the match."
But he added: "If you do sports as a leisure, it's different, but at the highest level, nothing is more beautiful than winning and victory is the only thing that counts.
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"There is some uncertainty, it's not science, and you may not win, but you have to do everything it takes to win and that is the state of mind we're in."
Deschamps also captained Olympique Marseille to their Champions League title in 1993 and later coached Monaco to the Champions League final, in 2004.
Asked if Sunday's match would be the most important game in his career, Deschamps said: "When I accepted this job, it was not just to take part, it was to live moments like this one.
"The best place is on the pitch. There is a certain frustration at not being on it with my boots on but I can't do that anymore".
(Editing by Adrian Warner.)
