The Reds were pipped to the title by Manchester City last season after they finished second on 84 points, two points behind the eventual winners.
Many had thought Liverpool would struggle to make it into the Champions League places last season, following on from a campaign where they finished in seventh place.
But despite the progression of 23 points over one campaign, Agger has told the club's website that the side must improve even more going into the next campaign.
He said: "Football is about winning; it's not just being there, it's about winning. It has to be like that for Liverpool Football Club.
"You have to build; we have to do better this year, even though it's going to be difficult. There have been a lot of good new signings. Hopefully we learned a lot from last year and we can take it from there."
The Reds have made four signings so far as they look to add depth to the squad, and prepare for life without Luis Suarez, who scored 31 goals for the club in the league last season.
There was some indication as to how the Reds are going to set up in their friendly defeat to Brondby last night, as they lined up in a system that looked very much like 4-2-3-1, but that may change come the start of the season when all the players who participated at the World Cup are available for selection again, and as more players are added to the squad.