Winners of the cup competition earn a place in the Europa League.
Four-time cup winners Forest have failed to progress past the third round for the past 11 seasons and start their campaign at Doncaster on Tuesday.
"It's very important because it is the only way to go into the Europa League," Montanier told BBC Radio Nottingham.
"I know it's difficult because there are a lot of teams from the Premier League and Championship. It will be a very important game."
Forest, two-time European Cup winners under Brian Clough in 1979 and 1980, who also guided the club to its four League Cup titles, last featured in European competition in the 1995-96 season, reaching the Uefa Cup quarter-finals.
The Reds, who last won the League Cup in 1990 and featured in the final in 1992, were knocked out of the competition by League One side Walsall 12 months ago.
Their trip to face League Two side Doncaster comes three days after Montanier oversaw Forest's Championship season opening victory against Burton Albion, in what was his first competitive match in English football.
Former Rennes boss Montanier also confirmed that the injury to goalkeeper Dorus de Vries, suffered in the 4-3 victory over Burton on Saturday, is not as bad as first feared.
"It will be a few weeks, but not serious," Montanier said.
Nottingham Forest manager Philippe Montanier says he wants to guide the Championship side into Europe next season as EFL Cup holders.