The defender also believes the move to the Olympic Stadium will help the club to push on further.
The Hammers qualified for the tournament via the Fair Play League last season but have to go through all three qualifying rounds to reach the group stages.
They have already comfortably overcome Andorran side FC Lusitans in their first round clash and will now face Birkirkara FC in the second round.
And while fans are anticipating easy progress for their side, Ogbonna has urged the side to take it step by step to avoid any slip-ups.
“I know the club is back in Europe but we need to take it step by step,” he told whufc.com.
We cannot look too far ahead and need to take it game by game. But it will improve everyone in the squad and help us move forward. I like everything at West Ham and I have the opportunity to move forward.”
A fitting send-off for the Boleyn Ground
Fans will be hoping they can have a long European run this season as a fitting send off to Upton Park.
The Hammers are of course set to leave their long-term home at the end of next season, with a move to the Olympic Stadium already planned.
That means there is added pressure on new boss Slaven Bilic and his side to not only ensure they will be playing Premier League football and give the old ground the goodbye it deserves.
And Ogbonna believes the move can help move the club onto another level.
“Moving to the new Stadium is better for West Ham and the mentality will change,” he added.
It is better to move to another stadium and everyone knows that something is changing and there is a lot to look forward to but I am also sorry that it will be the final season at the Boleyn Ground.”