The Blues find themselves in Europe's secondary competition after elimination in the group stages of the Champions League and the centre-back sees triumph as the only acceptable result following the drop down.
He told reporters: "We're now in the Europa League and there is one message - we have to go and win it. It's as simple as that.
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"A lot of the time, we are going to be a game behind the teams around us by the time we play, so we have to respond with wins."
Fellow Chelsea veteran Frank Lampard echoed his captain's sentiments, emphasising the importance of winning a trophy, especially with Rafa Benitez's men 16 points off Premier League leaders Manchester United.
"At the minute, the season hasn't been successful," the midfielder admitted. "We should be challenging for titles rather than third or fourth, but we're not, and we've not won some cups, we've been knocked out.
"Now we have to grab the fact that there's a lot of games to play and we have to try to win something."