But they are on the verge of an historic cup double and can look forward to Heineken Cup and Magners League finals.
Leinster face Northampton Saints at the Millennium Stadium on Saturday in a battle to be crowned Kings of Europe.
Horgan admits Leinster are feeling the pressure but insists they have what it takes to secure a second Heineken Cup title.
"It's a bit nerve-wrecking, especially after last year," Horgan told Liam Heagney of the Irish Mail on Sunday.
"We came out with no trophies, no medals, and that was disappointing.
"There is a resolve not to let that happen again. We know if we don't perform to our absolute max next weekend we won't win.
"You don't get handed a Heineken Cup. You don't get it because you have played well in past rounds, you don't get it because you haven't won it in a few years.
"You win it because you perform better on the day than the opposition. We're thinking that, Northampton will be thinking that."
Horgan is in his 13th season of Heineken Cup rugby in which has has played 86 games and touched down 27 times. During his time at Leinster they have developed from European minnows to genuine giants.
And the veteran wing has paid tribute to the culture and mentality of the current set-up.
"My first summer, there may have been four professionals, and my first full year was the first time it was pretty much a full-time professional outfit," said Horgan.
"It's not comparable, it's not like with like. The comparison just isn't there.
"We want an organisation that is very hard working but which remains humble at the same time.
"An organistation that makes the most of the talent we have, but primarily it's about work ethic, professionalism.
"I'd like to think they are the cultures we have been developing for a while, first and foremost, we're all pretty hard-workers, grafters and hopefully that allows the talent come through.
"We look to be more of a squad than a team. Certainly, many times I have played and probably prior to 2009, it was the team.
"If one of the 15 went down you were in trouble, and if one of the 22 went down you were in big trouble. That just isn't the case now.
"There's certainly a climax to this month and that's positive. It means the rest of the year has gone okay.
"We've been pretty mentally strong over a number of years now. That was a fair criticism a good number of years ago.
"It was an issue and it stopped us achieving some goals early on but, in the last number of years, we have been a bit stronger."
Horgan will also be able to look back to an 18-14 win over Northampton Saints, the then Champions, back in 2000. It was the first awakening of the Dublin sleeping giants.
"It was a massive deal at the time," added Horgan.
"It felt like boys against men and we were the boys. At that stage the defensive system went out the window, even if we were employing one at that stage, but it was a big win. "Each time you won or lost games like that you gained a little bit from it.
"Although it was a very long time ago and it might not be renowned by many of the players now, it does add a bit to the culture of the organisation."