Having upset the odds to claim their first top-flight title last term, Leicester are taking part in the continental competition for the first time in their history.
Wednesday's match away at Club Brugge will also see captain Morgan make his Champions League debut, and the Jamaica international considers it one of the greatest moments of his career.
"To win the Premier League is a great moment but this is definitely alongside it," said the centre-back.
"At the age of 32, to be playing in a competition like this is fantastic and I'm looking forward to it.
"This is one of the proudest moments of my career. Normally I'm at home watching on the TV. The music sends a shiver through your body so it'll be special walking out."
Manager Claudio Ranieri stated it would be "impossible" for Leicester to win the Champions League, but Morgan would not rule it out.
Asked whether they were capable of going all the way, he responded: "Why not?
"No one said we could win the Premier League. If teams take us lightly it only plays to our advantage – I'm sure that won't be the case."
Morgan will be leaning on Ranieri's experience in Europe's premier tournament, adding they will not underestimate their first opponents.
"Claudio knows what he's doing. He's been in the competition many times and we'll listen closely to what he has to say," added Morgan.
"They're in the competition for a reason. We have to expect the best that Club Brugge have to offer tomorrow."
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