The Blades take on Championship rivals Blackburn in their quarter-final tie at Bramall Lane on Sunday knowing a win would send them to the national stadium.
But Egan, who has been part of the Blades squad that has made it to the last eight of the famous cup competition for the third time in four seasons, says that is not the defining part of victory.
“It is probably a bigger carrot to get to the semi-final than to Wembley to be honest,” he said.
“We want to progress to the next round. You have seen our cup games so far, we had a couple of close games against Wrexham and then beat Tottenham.
“Every game has been close and we are looking forward to getting into the semi-final.
“As footballers you want to win games. Sometimes you go on a cup run and you get to a quarter-final and it opens up a bit. The main focus is to get to the semi-final. We have put ourselves in this position.
“Since I came I think we have got to three quarter-finals in the last few years. That is good going. We have always done quite well and it is a really good competition, no matter who you are playing, there is always a different feel to it and it’s a special competition.
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“We have done well to the quarter-final and now the next step is to go out there on Sunday and try and get the result.”
The Blades hope that their most recent league meeting with Blackburn, where they lost 1-0 at Ewood Park, has no bearing on events at Bramall Lane.
Egan, who will head off on international duty with the Republic of Ireland after the match, says there will be no secrets between the two sides.
“They know us well, we know them well, played each other twice already in the league so it is going to be a good game,” he added.
“We want to get through to the semi-final so to do that we have to turn up and play at our maximum.”