The identification of EEG biomarkers to discriminate Subjective Cognitive Decline (SCD) from Mild Cognitive Impairment (MCI) conditions is a complex task which requires great clinical effort and expertise. We exploit the self-attention component of the Transformer architecture to obtain physiological explanations of the model's decisions in the discrimination of 56 SCD and 45 MCI patients using resting-state EEG. Specifically, an interpretability workflow leveraging attention scores and time-frequency analysis of EEG epochs through Continuous Wavelet Transform is proposed. In the classification framework, models are trained and validated with 5-fold cross-validation and evaluated on a test set obtained by selecting 20% of the total subjects. Ablation studies and hyperparameter tuning tests are conducted to identify the optimal model configuration. Results show that the best performing model, which achieves acceptable results both on epochs' and patients' classification, is capable of finding specific EEG patterns that highlight changes in the brain activity between the two conditions. We demonstrate the potential of attention weights as tools to guide experts in understanding which disease-relevant EEG features could be discriminative of SCD and MCI.