City must beat Club Brugge next week if they are to reach the knockout stages of Europe's elite competition and the midfielder acknowledged that the team have no margin for error after their damaging defeat against PSG.
Grealish said: "Next week is like a final for us. We have to win.
"But since I’ve been here there’s been so many moments when people have questioned us as a team and we’ve always come up. Hopefully we can do that next week and get through to the next round."
The England international added: "It’s in our hands to qualify, which is lucky. We don’t have to rely on anyone else, it’s down to us.
"So we’re going to need the Etihad rocking, like it is on Champions League nights. We all know it’s a must-win game and hopefully we can go and get it."
City once again surrendered a lead in the loss against the French side and Grealish thinks it typifies the lack of confidence that has plagued the club this season.
He said: "It’s usually perfect for us if we come to these grounds and go two goals up.
"I think that’s when we’re at our best (in terms of) managing the game, keeping the ball, a lot of passes and stuff.
"Unfortunately, too many times this season we’ve been a couple of goals up and then we end up losing it.
"I’m not sure why that is, whether it’s a confidence thing or not. I’m not too sure at the moment. We had the momentum and then it just switched all of a sudden.
"Credit to them. In the end they deserved to win the game and it’s down to us now to try and win the game next week."