The club travel to Belgium to take on Club Brugge at the Jan Breydel Stadium on Wednesday in their opening group fixture, and Vardy says he wants the Foxes to make an impact on the competition, given English clubs have struggled at Europe's elite level in recent years.
"We definitely want to make a mark in this tournament," Vardy told Reuters in an interview. "We don't just want to sit there and roll over and get beat every time we play in the Champions League.
"We want to give it a good go. I think if we play anywhere near how we have played, especially all last season, then why can’t we..." the 29-year-old added.
Vardy said Champions League football would be another chance for the unheralded club from the East Midlands of England to prove themselves on the biggest stage, and that the players were determined to enjoy it.
"But we're not there just to be walked all over," he added.
Claudio Ranieri's side have been placed in Group G alongside Porto, Copenhagen and Brugge, who have picked up just seven points from their opening six Belgian league matches.
MARKED MAN
And despite remaining upbeat about his club's chances, Vardy knows they will have their work cut out.
"I think every game in our group will be tough. It doesn't matter who you are playing, they've qualified for a reason – because of how well they did last year and they'll only want to improve this season.
"You’ve just got to turn up and make sure you're on the ball when the game time comes, and hopefully pick the wins up."
Vardy's goal scoring exploits fired Leicester to the club's first-ever English league title by 10 points last season after netting 24 goals.
As the Champions embark on their title defence, Ranieri has urged referees to protect Vardy as he prepared for life as a 'marked man'.
But that's not a challenge that has fazed the Sheffield-born striker, who was plying his trade with Non-League Fleetwood Town just four seasons ago.
"That's up to me to get on the training field and adapt my game and come back with answers to them stopping me," Vardy said.
"It is all down to me to put the hard work in on the training field every day and then take that into matches.
"We don't feel like we're in for a tougher test this year. At the end of the day we weren't supposed to win the league last year and we're not supposed to win it again this year.
"We'll just go out and do exactly what we always do and that's give a 110 percent."
Leicester remain on four points from four matches after the club's 4-1 defeat at Liverpool on Saturday, after what has been a lacklustre start to their 2016/17 Premier League campaign.
(Editing by: Ossian Shine)
