According to the study, nearly half of U.S. millennials surveyed are willing to face investment risk in the pursuit of generating more wealth—something that's definitely not true for other generations. Only 27 percent of GenXers and 13 percent of boomers are up to tackling the same risk profile as millennials.

But that's not the only pursuit millennials are engaged in—63 percent are also actively seeking information to guide their financial decisions, compared with just 49 percent of GenXers and 34 percent of boomers.

But one area where millennials seem to have a blind spot is how they're going to achieve those early retirement goals with the financial realities they face—particularly since 82 percent anticipate higher health care costs in the future, and an additional 56 percent are concerned about declining social safety nets like state pensions and Social Security.

Overall, the study finds, respondents also anticipate that millennials will live longer than previous generations, suggesting that they'll to need save for a longer retirement (62 percent).

Brian Schwartz, HSBC wealth planning expert, is quoted in the report saying, "While millennials are broadly aware of the economic and demographic challenges they face, they do not appear to have grasped how these factors could hinder their efforts to retire early and comfortably."

But regardless of generation, retirement looms large in U.S. workers' psyches. With 73 percent of working age people in the U.S. saying that they'd postpone retirement for two or more years to have a better retirement income, 65 percent anticipating working to some extent during retirement and 46 percent saying they'd work longer or get a second job to save more for retirement, they're certainly not overlooking the challenges that lie ahead on the road to retirement.