Clermont's Azema unafraid of losing
Azema's side lost to French rivals Toulon in both the 2013 and 2015 finals, with Clermont also losing 11 of their 12 domestic Top 14 title-deciders.
They have, however, twice won the second-tier European Challenge Cup and Azema said now was the time for a "new chapter" in their history.
"I know the history of the club and we are very proud of what we have done in the past and our ability to get to finals, and to win titles and lose titles as well," Azema told reporters at Murrayfield on Friday.
"We are very consistent and our history shows this. We should be proud of it and carry it with us.
"But we have the opportunity to write a new chapter. Not to erase the history but simply to write something new."
Saracens were beaten by Toulon in the 2014 final but defeated another French club, Racing 92, to take the title last year.
That season also saw the London side win the English Premiership title and Saracens are now eyeing a 'double Double' as they try to keep their hands on both trophies.
"They have a deep belief in their project," said Azema of Saracens.
"For the last three years they have developed their philosophy and they have major confidence in what they are doing, and results have followed.
"We will try to play our regular game, what we have been doing since the beginning of the season. We will be realistic and pragmatic.
"We know there will be a lot of pressure from Saracens and we know they can play excellent rugby. But we will stick to the way we play. Changing it would be dangerous.
"If we can surprise them we will, but at this stage of the season we must be reassured and confident about what we have done and what we can achieve.
"We can be flexible. We need to find a balance and find any cracks and exploit them."
Clermont do have a degree of 'inside knowledge' regarding their opponents thanks to former Saracens wing David Strettle.
The 33-year-old spent five years with Saracens before joining Clermont in 2015.
"It makes it possible to give more meaning to what we have seen in the matches and on video," Azema said of Strettle's input.
"We have an understanding of how they play but it was good to speak to him about certain aspects and have a deeper understanding.
"But he left two seasons ago and their play has evolved and their players have evolved as well."
Agence France-Presse
