Despite failing in the Champions League and Premier League title race, the Blues are in pole position for a third-place finish and are favourites to win the Europa League
The 28-year-old, who signed for the Blues for £6.5 million from Marseille last summer, has become a key part of Rafael Benitez’s side towards the climax of the season.
The right-back also made his debut for Spain in February and now wants to finish the season on a high with a Europa League triumph and Champions League qualification for next term.
|8/13||Chelsea are 8/13 with Paddy Power to win the Europa League
"In November with him we didn't get results and here we know you need always to win. This is the pressure and the difficulty. We are players of Chelsea, when they change the manager we have to be focused with the new manager to get our objective."
Chelsea have largely failed with their end-of-season aims this term; crashing out of the Champions League in the group stage and failing to challenge the Manchester United and Manchester City in the Premier League title race.
But Azpilicueta believes there is still plenty to be excited about with the second leg of their Europa League semi-final against Basel on Thursday and a race to finish in the top four far from decided.
"We were disappointed to lose the World Club Cup, the Capital One Cup, the FA Cup," he added. "Now we have two targets to get in the top three for the Champions League and to win the Europa League.
"We can be the first team to win two years in a row the Champions League and [then] the Europa League and I think everybody would be proud if we did it."