The Championship outfit set up a fifth-round encounter with Antonio Conte's men after overcoming Liverpool in the fourth round.
Having scored in Wolves' third-round victory over Stoke City, Costa was again a key player against Jurgen Klopp's side in the last round, providing two assists as they pulled off an upset at Anfield.
The former Portugal Under-21 international has bagged a total of 10 goals for Wolves in 34 appearances in all competitions and Lambert has confidence that the 23-year-old - who made a permanent £13 million move to the club from Benfica in January - has the ability to shock Chelsea.
"He’s a big talent and what he’s done in English football in a short space of time has been incredible,” Lambert told the Daily Telegraph.
"If there’s ever a game you want to try to perform it’s this one. The amount of money we’ve spent on him in the modern-day game is not vast, but he’s worth it and I think he will be a massive asset
"In time that will be buttons to what his value will be. This is the game everybody watches and the level you’re up against is huge.
"If Helder produces what he has been producing then he’s a threat without a doubt.”
Wolves host Chelsea at Molineux on Saturday, February 18. The game kicks off at 17:30 GMT.