The Eagles defender, 31, has begun competing in triathlons and is considering taking them up full time when his football career comes to an end.
Delaney admits he is unlikely to be rubbing shoulders with Team GB's Olympic medal winners Alistair and Jonny Brownlee at Rio in 2016 but he will be attempting to strike gold at Wembley on Monday when Palace take on Watford in the npower Championship play-off final. "I've done a few triathlons, I love them," he explained.
"When I left Ipswich last year I was thinking of taking them up. I did a couple last summer and really enjoyed them. My friend is involved in the industry and he roped me into it last summer in Ireland.
"It's a really different level of fitness. I think I did pretty well in my category, my swim was about 12 minutes. But I didn't go in the elite category, they were getting out of the water in eight minutes.
"But I'm really into them now, and I'm doing a couple more in the summer. There are a couple in Ireland and one in San Diego. But it's just the sprint, not the full distance at the minute.
"I could go into them after my career. Will I be in Rio for the Olympics? Maybe on the Copacabana beach with a beer."
Delaney will be making his first appearance at Wembley having only ever previously been to the national stadium as a spectator.
"I went to see a U2 concert there once," he said. "I've also been to the NFL games, but I've never played there.
"It's a big game but I'm not going to approach it any differently to playing Watford at Vicarage Road."