The Rhinos veteran also believes that the club have benefited in preseason as a result of their early exit from the 2014 play-offs.
“We want to win both cups,” he told Love Rugby League.
“It’s a different concept this year, but we believe that we’ve got the squad to do it.
“We want to finish as high up in the league as possible and win the Challenge Cup – that’s not us being in any way arrogant, it’s just that you’ve got to aim high.
“Wigan will be aiming for that, and Warrington will too. So that’s what we intend to do.
“It is a different concept, so all teams this year can’t ease into it. You’ve got to go hard right from round one, and maintain that form.
“We’re really excited. The good thing about the negative last year of getting out early is that we’ve been able to do a lot more training.”
On a personal level, Burrow is now recovered from a groin injury, and cannot wait to get into action.
“I’m really looking forward to getting on with it,” he added.
“I’ve had a bit of an injury in the off-season, but I’m flying now.
“It’s been a long preseason, because we were out earlier than we wanted to be.
“But the benefit of that is that we get more training and reps under our belts before the start of the season.”