The 40-year-old struck a total of eight goals in finals throughout his playing career for both Juventus and theRossoneri.
But the legendary Italian striker is particularly proud of his goalscoring exploits in 2007, where he fired both of Milan's goals in the Champions League victory over Liverpool in Athens, before scoring a further three times in the club's subsequent wins over Sevilla and Boca Juniors in the Uefa Super Cup and Fifa World Club Cup respectively.
And Inzaghi is confident that his prowess on the big stage will not be matched by anyone - including the Ballon d'Or frontrunners.
"[Then Milan coach] Carlo Ancelotti was uncertain whether or not to play me or Alberto Gilardino in the Athens final, but I played and scored twice," he told La Gazzetta dello Sport.
"Then I scored in the Super Cup final win over Sevilla and another two against Boca Juniors.
"Five goals in three finals, which were three of the most important finals and we won all of them. Not even Messi or Ronaldo will achieve that. It's a record I will hang on to."
Inzaghi, now training the younger generation of Milan stars, went on to state that he wants to spend the rest of his coaching career at San Siro.
"Now that I coach the youngsters, what I try to convey to them is that hunger for victories that we had, that endless ambition," he added.
"My dream is to stay at AC Milan for my entire career."
The veteran called time on his 21-year career in July 2012.