The 39-year-old says that his side can defeat the Blues in the two-legged tie and insisted he is not thinking about potential match-ups in the semi-finals just yet
Rui Costa said that Benfica have chances of further progression in the competition and played down the fact that the first leg of the tie will be played at the Estadio da Luz.
"Chelsea are a great team, with great players, but Benfica are also a great team and we fear no one," he told Benfica TV. "It will be a very close tie, but Benfica have a chance.
"We are amongst the eight best teams in Europe, with all merit. We could not wish to get an easy team, because there were none.
"We have to play both at home and on the road, and the fact that you play at home is getting less and less important, though it is always good to play on your stadium.
"It does not scare us that we play at the Estadio da Luz first and then at Stamford Bridge."
Quizzed on his preferred opponent for the semi-finals between Barcelona and AC Milan, Rui Costa stressed that his side are only focused on the upcoming tie against Chelsea.
"Our immediate concern is not who wins the tie between AC Milan and Barcelona," he noted.
"We have to beat Chelsea and to be focused only on this tie and then think about what comes next, if we go through."
The first leg is to take place in Portugal on March 27 at 20.45CET.