The Blues are in contention for two trophies; the FA Cup and the UEFA Champions League title to finish a yo-yoing season.
Chelsea will first play Leicester City in the FA Cup final at Wembley on Saturday before switching their attention to bid for the European crown in a newly-scheduled venue in Lisbon on May 29.
Mendy, who is having wonderful first season at Stamford Bridge, wants Chelsea to make the most of these occasions by bring the titles to West London.
The Senegal international also acknowledged that it has been a "tough" debut campaign for him in the Premier League because there is no winter break.
"This was the first season for me without a winter break so, it was a very tough time mentally and physically because this is another rhythm, I had to adapt,” Mendy told BBC Sport Africa.
"It was my first year like this, so, it will be enriching, it will help me a lot for the following years.
"Then the new coach arrived, and the team performed well straight away, me included. So, today we arrive at the end of this season, a season that for the moment has been positive, but we need to complete that with titles."
"During the winter when subconsciously you are used to this winter break, a time of rest, but this time you don't have it," he continued.
"On the contrary, things even accelerate because you play every two days.
"So, it was really a tough time because physically and mentally, doing that every two days with the intensity you can have in the Premier League and all that it requires to play a high-level match, so yeah, it was a bit of a tough time.
"But here we are, I worked physically and also mentally, those are good things because you even learn more about yourself, you stretch yourself and with all this, it helped me to return to something very positive."
