Eight years after your last Champions League semi-final, you're back in the last four of Europe's premier competition – having left Real Madrid. Many thought your departure was the beginning of the end. Instead, you're the story of the season. Did you expect to find yourself here? Did Schalke? No. This was a completely new team. In the league we really struggled – we lost the first five games – and we've been mid-table all season. But in the Champions League, both the group phase with Lyon, Benfica and Hapoel and the knockout stages, we've played very well, we've improved and grown in confidence. Against Valencia and Inter, everyone expected us to be knocked out but we deserved to go through.

Although you didn't expect to get so far, how much of a role did Champions League football play in your decision? You've had the chance to re-establish yourself as European football's all‑time top scorer. You've played more Champions League games and scored more Champions League goals than anyone else. Is it this competition that really moves you? It's special and it mattered. Champions League matches are different to any other game. But the main reason was that the coach [Felix Magath, who has since been replaced by Ralf Rangnick] trusted in me, this is a good team in a good league – they were second last year, were playing in the Champions League and were seeking to win the Bundesliga for the first time in 50 years – and they gave me the opportunity to play regularly and compete. Next year we might not be in the Champions League but I won't leave. Before joining Schalke there was a chance to join other teams but this was what I needed – to play regularly, to battle a little longer. I feel good physically, good mentally, and I hope to continue for at least another year. If I feel like it, if it attracts me, I would love to carry on [beyond that].

What were those other possibilities? Much has been said about Manchester United, your opponents on Tuesday. There were a couple of possibilities and United was one, but the only person who knows just how real that was, how close, is Alex Ferguson. I never spoke to him personally but there were contacts with United. Before deciding to come here I thought about England, where I had a couple of offers. I love the footballing culture there, the respect for the game, the atmosphere, the intensity. I've been at Old Trafford, Arsenal, at Liverpool watching Fernando Morientes, and it's special. I fancied the idea. I wanted to try something different. But I've been able to experience that here. We take 3,000 or 4,000 to every game, we're never alone. And I couldn't be happier.

You even ended up in the stands, celebrating with the fans. Yes, that was wonderful. A player gets "nominated" to join them. I spoke to a few of the fans and I think they understood me. At Madrid, winning was an obligation. Here, you win a game and, although I wouldn't call it a party, it is different. There's a gratitude and enjoyment. It's a great experience that makes you more rounded.

Do you look at how well this season has gone and think: 'Maybe I should have come sooner'? Playing for Madrid for so long outweighs that. But I did reach a point at which I felt that chapter had closed. If I wanted to carry on enjoying football, I had to leave. I could have stayed there but it wouldn't have been what I wanted. I wouldn't be enjoying it. It's not just about the success. In October, November things weren't going so well. I'd only scored a goal or two, things were difficult for the team, but I was still happy. When I came, people stopped me and said gracias. Thanks for coming to Schalke. For me, that's unreal.

And then you started winning ... To start playing well on top of that! I couldn't believe it, I couldn't. [There's a look of amused wonder on Raúl's face as he begins to catalogue the season.] First, the group stage and we finish first. First! Well, yeah, let's see what happens in the last 16. Valencia. And we win. Inter, the European champions. And we score five in Italy! And now we're in the semis. You look at the German Cup: there are two Second Division teams in the draw, us and Bayern. And of course, we get Bayern – at their ground. And you say 'madre mía'. And you go there – and you win, haha! No matter what happens now, I have found what I was looking for.

At some level, was leaving Madrid a relief? Is it a relief not to have the weight of the captaincy of Real Madrid weighing upon you? I'm more relaxed. At Madrid, apart from playing football, I had other responsibilities. And many of them. In the end, that saps your energy. I needed to be focused just on training and playing and enjoying myself with my team-mates. I don't worry about other things now: there aren't events every week, responsibilities. This is what I really wanted. The years spent at Madrid were wonderful, it's my club, and I'll always be a Madridista. Madrid changed my life. But I reached the point where I needed to escape. The captaincy is a real honour but I needed something else. I've got that here. Besides, because of the language, I couldn't be captain here.

Do you speak any German yet? I understand things. The coach speaks in German and also English, which I follow better. It's hard but you have a sense of what the coach wants anyway because of the training. I have a translator for everything. German is a difficult language.

What memories do United bring back for you? Redondo's backheel [almost giggling at the memory of it] was incredible. Ronaldo's hat-trick, although I was injured and didn't play. The two goals against them in Madrid ...

The front cover of one newspaper the morning before the win at Old Trafford in 2000 ran on "United don't scare me", written over and over like a mantra. Few seemed to think it was possible … It was super-complicated. They had an amazing team. We'd achieved a great result at home [a 0-0 draw] but we still didn't think we could beat them there. We might not have had the best Real Madrid side ever but we did have a very close group. We were 0-3 up and then suddenly it's 2-3. If it had gone on for five minutes longer, we would have suffered. Games against United have always been very special.

After the first leg that year, Ferguson called you the best player in the world. He has always said nice things about me and I'm very grateful because he is one of the best coaches in the whole of football history. It is super-difficult to be at the same club for so long, to build competitive teams over and over. There's a nice a mix of youth and experience with Ryan Giggs, Paul Scholes, Van der Sar, Rio Ferdinand, plus younger players like Wayne Rooney, who is one of the cracks [superstars] of world football. Maybe they're not at the level of Barcelona in terms of play but they are always in the semi-finals.

You mentioned Giggs. Giggs versus Raúl in a European Cup semi-final. What year is this? What's the secret? We love this profession, we enjoy it. For Ryan and me, it's our life. He's a great professional who looks after himself. He's 37 now – it is 37, right? – and he's playing every three days in all sorts of positions. In the middle, on the wing, deeper, further forward. Giggs and Scholes are players for whom I have an enormous admiration. I would love to swap shirts with Ryan Giggs after the game. It would be a great honour.

Giggs, Scholes and you appear to share a seriousness and dedication to the game. Few media appearances, few adverts, few off-field 'issues'... I could have done things differently but what I really like is football. That's why I'm here. When you're young you do one or two things … but in the end you realise what it is that you really like doing: playing football. And then you avoid all that, you conserve energy for what really moves you. That can help extend your career. When you do other things, you divert your attentions and energies elsewhere and that's detrimental. There are so many things, like endorsements and adverts – and, hey, I've done adverts, too – but I've always tried to organise my life around football.

Are you and Giggs proof that a player isn't finished at 30? If you train and you have ilusión [enthusiasm, hope], you can keep playing. Look at people who run marathons and they're at their best at the age of 38, 40. Forty-two kilometres! Your body can do that. The thing is, your head. Ultimately, that is what matters. I know players who've stopped playing and now they go to the gym for two hours every day and say: "I ran I-don't-know-how-many kilometres," and you say: "You used to complain about running for 10 minutes." Training can be hard but mostly when you prepare for a game it's not that much. And your body can do it. You have to be mentally prepared to suffer – pre-seasons are not easy – because that suffering pays off. Suddenly, it's: "Wow, I feel in great shape."

You talk about mental preparation. Is the pressure greater than we realise? It depends where you are, on the presión mediática [repercussions from everything going on around the club]. You see players at 27 and think: "He's finished." Then you see players at 30, sometimes the same player and think: "Wow, he's flying." Often that's confidence, comfort, environment. You see guys who are 35, 36 and you think: "Bloody hell, he's like a kid." The psychological side of the game, of life, is hugely important.

You have always said that in terms of approach you owe much to Fabio Capello. First there was Jorge Valdano, then Capello, who really made an impact. He brought to Spain the professional attitude and approach of Italy. You're on the pitch for 60, 70, or 90, or 120 minutes, you're concentrated, working, professional. That's what brings the reward. We connected. I have a great relationship with him. I'm sure he'll come to Manchester because he never misses a game – I see him up in the stands all the time – and I'd love to see him. He demanded so much of me when I was 19. There were days of anger but you realise that it's good for you. Sometimes you hear players complaining about a coach's demands and my response is always: "Good." If he didn't say anything to you, that would be much worse. He's doing it for your own good. He wants you to improve, to make a better player. [Capello] was so important for me. Maybe if I'd been older it wouldn't have mattered so much but for me personally it was huge. I trust in him a lot and I expected more [from England] at the World Cup [last summer]. It's hard to meet expectations. Maybe the moment there are no expectations will be when you win the European Championship. You have to wait. You need to have faith. I think Spain will win it but England can be second, ha ha!

Capello only lasted a year at Madrid, both times. United have had the same coach since 1986. Madrid ... ... will have had 15 or 16, for sure. With the exception of Vicente del Bosque, [coaches] haven't had continuity. There isn't the same culture or patience. As soon as objectives go unfulfilled, the project suffers. But I think Madrid have now found the key person in José Mourinho. He will be there for as long as he wants, whether that's two, three, or four years. In Spain, any longer is hard.

Does that pressure mean that you wouldn't want to be a coach? I'm not sure. When I decide not to play any more, I'll see. The only thing I have done for the last 17 years is play. Of course I've watched, observed, taken on ideas, learnt. But if I was to be a coach I'd want the necessary education: my badges, a masters. There's a huge difference between playing and having to take decisions. Then look at Pep Guardiola: he's done brilliantly but he'll last, what, a year longer? Mourinho will be at Madrid for three or four years, I'd imagine. It's not easy. You need patience.

We've talked about pressure and you have talked about being satisfied with the season. Do Schalke go into this semi‑final without pressure? Tell you the truth, I don't think we have been under pressure all year. Pressure, real pressure? Maybe if we'd lost a couple more games in the league and found ourselves near the relegation zone we'd have said joder. But we won, now we're mid‑table. Proper pressure? No. We went to Valencia thinking: "Let's see if we play OK." We went to Milan, playing the champions. I'll tell you something: you don't score five against Inter if you're under pressure.

And now? Now? We dream of beating United. Let's see if we're the better team. Or perhaps not: logic says United will be. But we'll try. We might even have an advantage there. Manchester might be: "Joder, we can't let this final slip through our fingers." Except that they're used to it: like Madrid, they live with that pressure every day. If they "relax" a bit, who knows? We're under more pressure in the Cup. "It's a second division team, this and that and ..." Against United? Well, we're playing well, we are very clear about what we have to do, we're compact. We've got Jefferson Farfán, who's quick and skilful. Jurado is growing. [The goalkeeper Manuel] Neuer is very, very good. I didn't know much about him but he's incredible. You should see him in training – his saves, throwing a ball half the length of the pitch, everything. He might even be more complete than [Iker] Casillas. And he's only 25. It's pity for United because he would have been perfect for them, but people say he's going to Bayern.

The final would be at Wembley. [Raúl grins] That would be the leche [literally, the milk, the business]. I'd never scored against Bayern Munich and I scored against them in the Cup. I went to San Siro and scored against Inter, which I'd never done. I've never been to Wembley – which is one of the stadiums with the Maracanã ... wow! I'd love to go – even if it's as a fan to watch Madrid.

That's the thing, isn't it? If you do get to the final, it could be against Real Madrid. Dream or a nightmare? I don't know. Right now, I can't find the words. If it happens, it would be ... [Raúl pauses] ... more than special. We didn't expect to get here so we're satisfied. Now we want a little more: we don't know when the chance will present itself again. Look at Madrid – seven years without getting past the quarter-finals. No one can believe this. A final would be even more incredible. I hope it's Madrid ... [Raúl pauses again] well, I don't know, actually. It would be [again there's a pause as Raúl looks for the right word] ... strange. Very strange. If you can guarantee that we'll win the final, maybe it would even be better to play Barcelona. If not, Madrid. Let's see what destiny has in store.