The Blues take a 2-0 lead into the match at Stamford Bridge after a double from Nicolas Anelka in Denmark.
Despite being firm favourites to go through, Kalou has warned that the tie is not over.
“Going away and winning 2-0 is a great result," the striker told Uefa.com.
"Now we have the second leg at home and we'll try to make it good by winning again. Then we can prepare for the next round peacefully.
"The away goal is very important and if you score twice away that can play in your favour in the next game.
"A football match is never done; you play 90 minutes, so we have to be focused on that. I think we have the team to beat them."
If the home side do progress it will mean Carlo Ancelotti’s men have been quarter finalists in five of the last seven seasons, but the Ivory Coast international knows they cannot underestimate the Danes.
The 25-year-old added: "It's dangerous. If you think you're already through and that it will be an easy game, then you can [concede goals]. We know they have a good team; even if we beat them away, they created a lot of chances as well. If they reach this stage of the competition it means they're a good team. So we have to have respect for them and play our usual game."
Kalou also says he would like to reach the final, which is to be played at Wembley, because it would feel like a home game.
“We've played so many times at Wembley, it would be like a home game," he said.
"Imagine playing a Champions League final at home – that would be the best scenario ever. So we are motivated, we know it's a long journey to get there, but we'll take it game by game. It's very important to be focused; that's the only way we can get to the final."