In this paper, we show that under mild controllability assumptions a Control Barrier Function (CBF) can be constructed based on predictions with a finite horizon. The proposed construction methodology yields a CBF that renders a prespecified subset of the state space invariant. In particular, we leverage intuitive understanding of the system dynamics to construct a subset of an unknown control-invariant set, and then apply finite horizon predictions to compute a CBF. Moreover, we provide a thorough analysis of the properties of the constructed CBF, we characterize the impact of the prediction horizon, and comment on the practical implementation. In the end, we relate our construction approach to Model Predictive Control (MPC). At the hand of a relevant application example, we demonstrate how our method is applied.