The two Irish and Leinster rugby greats are set to hang up their boots at the end of the season and Cheika wants them both to go out on the highest of highs by helping their side win the Magners League Grand Final.
Dempsey started in the epic 35-28 win over Edinburgh at the RDS last weekend and the 92-times capped O'Kelly, who toured with the British & Irish Lions in 2001, is included in the squad for Saturday night's all-Irish Play-Off semi-final clash with Munster at the same venue.
"I think everyone knows what Malcolm has contributed as a player. He has been a pro for a long time and the mere fact that he's well in line to start the match this weekend, pretty much says it all about him," said Cheika..
"From the first day I came in, he was open to change. He's always open to becoming better as a player.
"He has been an unbelievable influence on the team, and on me, and he has been an integral part of the change that I hope has happened in Leinster Rugby over the last five years.
"He's still in great nick. He still has a great engine in terms of where his running is concerned and he's still eager to be involved in the development of the line-out and his tight-head locking of the scrum. These are things the team is going to miss.
"A few of the young bucks have come and tried to knock him off his perch and they haven't been able to do that as of yet. In the last four years he has been extremely durable and when required does his job.
"I have a real picture in my mind about the way he played on the occasion of his then record breaking 140th cap away to Llanelli. He had just missed out on selection for the international team and we had to win to stay in the hunt.
"That was the year we won the Magners League. It was pouring with rain and he worked like a dog all game.
"He got a try, just burrowing his way over to win us the game, and that says it all about the guy. He just wants Leinster to do well and he'll be a big loss for the club."
O'Kelly's importance to the squad will come into sharp focus this weekend with skipper Leo Cullen ruled out with a shoulder problem. But while that is bad news for Leinster, there is better news in the likely return from injury of outside half Jonny Sexton.
His fractured jaw has healed sufficiently for him to train fully this week. Shane Jennings and Sean O'Brien are still back row uncertainties, while international hooker Bernard Jackman is also missing.
"It has been an enlightening experience coaching against Munster - it's everything that's good about the game. I hope that I run into them again sometime soon when I leave because they're a quality outfit and you know you have to battle against them up to the very end," added Cheika, who is joining Stade Francais Paris next season.
"We all love to talk about having great victories or winning tournaments, but at the end of the day when Saturday comes along, you want to have a good go and no team gives you a better game than them.
"If you saw the way they fought against Cardiff, they fought for everything on the ground. It wasn't pretty but they really showed their character in fighting for every ball.
"If there's one thing we are, it's well aware of the fact that we're going to have to be at our most physical if we want to win the game."