We can say, "We are members of the Church", as the Church is an institution created by Christ for our salvation. Here is a section from the Baltimore Catechism: The Church is no mere voluntary organization but a divine creation ordained by Christ for our salvation. In union with the pope, the successor to Peter, the bishops--the successors of the other apostles--teach the truths of the Christian Faith to all.
Reminders from the CCC.
862 "Just as the office which the Lord confided to Peter alone, as first of the apostles, destined to be transmitted to his successors, is a permanent one, so also endures the office, which the apostles received, of shepherding the Church, a charge destined to be exercised without interruption by the sacred order of bishops."375 Hence the Church teaches that "the bishops have by divine institution taken the place of the apostles as pastors of the Church, in such wise that whoever listens to them is listening to Christ and whoever despises them despises Christ and him who sent Christ."376
863 The whole Church is apostolic, in that she remains, through the successors of St. Peter and the other apostles, in communion of faith and life with her origin: and in that she is "sent out" into the whole world. All members of the Church share in this mission, though in various ways. "The Christian vocation is, of its nature, a vocation to the apostolate as well." Indeed, we call an apostolate "every activity of the Mystical Body" that aims "to spread the Kingdom of Christ over all the earth."377
864 "Christ, sent by the Father, is the source of the Church's whole apostolate"; thus the fruitfulness of apostolate for ordained ministers as well as for lay people clearly depends on their vital union with Christ.378 In keeping with their vocations, the demands of the times and the various gifts of the Holy Spirit, the apostolate assumes the most varied forms. But charity, drawn from the Eucharist above all, is always "as it were, the soul of the whole apostolate."379
865 The Church is ultimately one, holy, catholic, and apostolic in her deepest and ultimate identity, because it is in her that "the Kingdom of heaven," the "Reign of God,"380 already exists and will be fulfilled at the end of time. The kingdom has come in the person of Christ and grows mysteriously in the hearts of those incorporated into him, until its full eschatological manifestation. Then all those he has redeemed and made "holy and blameless before him in love,"381 will be gathered together as the one People of God, the "Bride of the Lamb,"382 "the holy city Jerusalem coming down out of heaven from God, having the glory of God."383 For "the wall of the city had twelve foundations, and on them the twelve names of the twelve apostles of the Lamb."384
IN BRIEF
866 The Church is one: she acknowledges one Lord, confesses one faith, is born of one Baptism, forms only one Body, is given life by the one Spirit, for the sake of one hope (cf. Eph 4:3-5), at whose fulfillment all divisions will be overcome.
867 The Church is holy: the Most Holy God is her author; Christ, her bridegroom, gave himself up to make her holy; the Spirit of holiness gives her life. Since she still includes sinners, she is "the sinless one made up of sinners." Her holiness shines in the saints; in Mary she is already all-holy.
868 The Church is catholic: she proclaims the fullness of the faith. She bears in herself and administers the totality of the means of salvation. She is sent out to all peoples. She speaks to all men. She encompasses all times. She is "missionary of her very nature" (AG 2).
869 The Church is apostolic. She is built on a lasting foundation: "the twelve apostles of the Lamb" (Rev 21:14). She is indestructible (cf. Mt 16:18). She is upheld infallibly in the truth: Christ governs her through Peter and the other apostles, who are present in their successors, the Pope and the college of bishops.
870 "The sole Church of Christ which in the Creed we profess to be one, holy, catholic, and apostolic, . . . subsists in the Catholic Church, which is governed by the successor of Peter and by the bishops in communion with him. Nevertheless, many elements of sanctification and of truth are found outside its visible confines"(LG 8).