The Kiwis booked their trip to Old Trafford courtesy of Shaun Johnson's converted try in the last play of the match which earned them a 20-18 semi-final win over England.
Sheens knows just how England coach Steve McNamara is feeling, having been on the receiving end of a similar heart-breaking finish to the final of the 2010 Four Nations Series in Brisbane.
"England will probably consider themselves unlucky," Sheens said. "I know how they feel because in 2010 the Kiwis beat us in Brisbane in the last play of the last set from 70 metres out.
"That was a home series too. I'm very sympathetic to Steve McNamara in that regard. The Kiwis are capable of doing those things."
Sheens remains confident of having full-back Billy Slater back for the final after making more progress in his rehabiliation from a knee injury sustained in the Kangaroos' quarter-final win over the USA.
"He's had 24-hour treatment over the two weeks," Sheens said. "It's been very thorough. He had scans to make sure there was no damage to the knee and since then we've done aggressive treatment with him.
"He's very vigilant in what he does. He was up all night after the injury icing it. He started trying to get to the final within hours of being injured. He's that sort of professional.
"I'm a lot more convinced after the session today than I was before that he has some chance to play. We've still got another session on Friday to make that decision."
While Slater remains Australia's only injury concern, New Zealand coach Stephen Kearney still has doubts over left winger Manu Vatuvei and second rower Frank Pritchard, who both missed the semi-final win over England with groin and hamstring injuries respectively.
Sheens, who has the luxury of having Greg Inglis available to step in at full-back, believes the Kiwis have the depth to cover both positions if Vatuvei and Pritchard fail to recover in time.
"They've got a powerful squad whoever they put out," he said. "The guys that are in doubt didn't play last week. Like us, they've got good options if certain people don't play."
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