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The Blues reached their first showpiece of the season, extending their unbeaten run to 22 games, with a 2-0 win over West Ham at Kingsmeadow on Wednesday.
Bompastor has not lost a match since taking over from Emma Hayes in May, and her team remain in the hunt for all four trophies.
“The reality is we didn’t win anything yet,” she said.
“If you get to the final, but you don’t win, it doesn’t mean anything.”
Chelsea hold a seven-point lead at the top of the Women’s Super League as they chase a sixth straight title, while they face Everton on Sunday for a place in the last eight of the FA Cup.
They are also in the quarter-finals of the Women’s Champions League – the one trophy the club has never won.
Chelsea have also strengthened heavily in the January transfer window with the addition of world record signing, USA defender Naomi Girma, as well as luring away England midfielder Keira Walsh from Barcelona.
Chelsea captain Millie Bright, though, said the club wants to win every piece of silverware available this season and Bompastor’s approach has helped with that ambitious approach.
“Every trophy we want, we want to lift them all,” Bright told BBC Radio 5 Live on Wednesday.
“That was something that really stood out from when Sonia first came in. She’s not afraid to say she wants every trophy and she wants everything we compete for.
“We want to win and I really like that. Putting it out there, there’s nothing wrong with that and it sets the tone really high.”
Bompastor’s first chance to lift a trophy as Chelsea manager will be on 15 March at Derby’s Pride Park Stadium, where either Arsenal or Manchester City await.
However, the Blues boss said she is not thinking about the final.
“The focus is making sure we go deep in every competition, as deep as we can,” added Bompastor.
“But also game by game, we just …
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