The Brazilians won the continental competition just once in 2016, and were runners-up twice, first back in 2001 and then last season where they lost 3-2 to Egyptian side Pyramids FC over two legs.
Downs have one foot in the competition proper as they head into Sunday's Second preliminary round second leg qualifier with a 5-1 lead over Nigeria's Remo Stars.
Speaking ahead of the weekend's tie, Kekana explained that depsite a slow start to their Betway Premiership season, Sundowns have built a strong character capable of lifting the CAF Champions League this season.
He said in the Citizen: "Obviously, the Champions League has been a bit of an Achlles heel for us considering that usually we do so well to get to a particular stage.
"When we are supposed to take it to the maximum, we sort of fall short but I don't think we are discouraged. It just builds more character within the group knowing that we are capable of reaching that stage. Now it's just about us going all the way because the desire and hunger is still there.
"As a team, I think that's the one trophy we want so much, especially this group considering how well we have done in the league.
"The Champions League is what is missing with this group and I think going into this season, we'll obviously analyse the mistakes and how we fell short so that if we do reach that stage again, we are able to do better than we did in previous seasons."
Kekana added: "I think with the players that have come in now, they have sort of adjusted well to what is required from them and what is required from the club.
“Going into the game against Remo, they are a good team, they are very aggressive. They man-marked us the whole game. But we went there with the right attitude and right mentality and played for one another and our quality came out.”