Defending champions Chile stuck five second-half goals past Mexico in a 7-0 drubbing on Saturday in what was their joint-biggest Copa America victory.
Chile started the tournament slowly, losing out to 2015 runners-up Argentina in their Group D opener, but responded with wins over Bolivia and Panama.
The subsequent rout against Mexico sees Juan Antonio Pizzi's men head in the last-four clash with Colombia as favourites, but Vargas - scorer of four goals against Mexico - was keen to temper expectations.
"We don't consider ourselves favourites at all. We played a good game against Mexico, but we know how complicated Colombia will be," the 26-year-old said ahead of the clash at Soldier Field in Chicago.
"The Mexico game has passed, so we are thinking about Colombia and how we must face them. It will be hard."
Vargas has been one of Chile's stars so far this tournament, leading the goalscoring charts with six - two ahead of Argentina superstar Lionel Messi.
The Hoffenheim winger scored four goals as Chile, who are without suspended talisman Arturo Vidal, lifted their maiden Copa crown in 2015, and he is desperate for a repeat success in United States.
"The most important thing I have ever achieved in my career was to have lifted the Copa America trophy," Vargas said.
"It was our first and we are fighting to do it again. The group is united, happy and that always reflects on and off the pitch. We have confidence and we will give 100 per cent."
Jose Pekerman's Colombia started brightly at the tournament by defeating USA and Paraguay, but were beaten 3-2 by Costa Rica in their final group-stage match and needed a penalty shootout to get past Peru in the quarter-finals.
The absence of Vidal from Chile's line-up is sure to be a boost for the 2001 Copa champions, but Daniel Torres stressed that whoever plays in the heart of Chile's midfield will be a more than capable replacement.
"Chile are not only Vidal, they are a very good team," he told a news conference.
"We will not be complacent because whoever it will be that replaces Vidal has the same capabilities."
Striker Carlos Bacca added: "We know what he [Vidal] contributes to Chile individually, but they are a team, they are champions."