The Blues are chasing four big trophies this year, but they have lost in the last two finals of this cup. They were beaten by Manchester City in 2022 and then by Arsenal last season.
Hayes, whose team beat Arsenal 3-1 in a league game recently, says it's very important that her players do their best at Molineux.
"Have you watched our performances in the last two Conti Cup finals? Because I have and they have again and again," Hayes told reporters.
"Let me be clear on this: the team know exactly how I feel about that final on Sunday in terms of showing up and showing ourselves. I don't care if it's important to them, it absolutely is important to me."
In December, Chelsea lost their first league game of the season 4-1 to Arsenal. Hayes told her team that they need to start the game well to avoid a repeat of that result.
Hayes added: "You have to show up on the day, let's be clear, they're two top-level teams. Both are capable of winning the games, both have their own qualities.
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"The team that shows up strong, particularly the first part, you think about the Emirates game, it was over at half-time. You'd better show up from the off. If you don't, it can make it a little bit difficult."
Winger Guro Reiten talked up the importance of the all-London final, predicting Arsenal will look for revenge after their recent defeat at Stamford Bridge.
Reiten said: "It means a lot to beat Arsenal. They're the best matches to win and the worst ones to lose. They're probably going to come into the final and want revenge."
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