West Ham United are in the quarter-finals of the FA Cup.
And Cottee believes that winning the FA Cup should take precedence over finishing strongly in the Premier League.
"In my opinion it should be top of their priorities," the pundit said. "I went down the training ground this week and had a chat with Slaven and Julian Dicks, and they’re excited about the FA Cup.
"They have done really well in the league, they have more than remained in the Premier League, so why not give the FA Cup a go?"
West Ham have beaten Wolverhampton Wanderers, Liverpool and Blackburn Rovers so far in the FA Cup.
They are now due to play Manchester United at Old Trafford in March, with the winner guaranteed of booking their place at Wembley.
Slaven Bilic has stated that winning the FA Cup this season would mean more to him than qualifying for the Champions League, and his team selections have proved this statement to be true.
West Ham have named strong line-ups in every round so far and they cruised past Blackburn in the last fixture.
The Hammers’ immediate attention will have to turn back to their Premier League campaign, however, as they are back in action against Sunderland at the weekend.