The talented midfield schemer does not see host nation Portugal as a favourite to land the trophy - instead looking towards Italy and France as potential winners.
''My favourites are Italy and France,'' confirmed Rui Costa.
''Portugal, as hosts - we consider ourselves as outsiders.
''Anyway, I'd really like to to play in a final against the Azzurri.''
Rui Costa has endured a mixed season for Milan and admits his future with the Serie A champions is far from certain.
''For a player who is not always a regular it is normal to be linked with these speculations,'' continued Rui Costa.
''But if we agree, I don't see too many reasons to leave.''