Barcelona travel to the Premier League champions for the first leg of their clash on Tuesday, the Catalan giants having seen their comfortable cushion atop La Liga cut to seven points after back-to-back draws.
Chelsea and Barca have a rich shared history in the Champions League, having faced each other 12 times in the tournament since 2000, most recently in the 2011-12 semi-finals.
There have been four Chelsea wins to three for Barca during that time and although the Blues have made a poor attempt at defending their league title, Pique believes Antonio Conte's men should not be underestimated.
"Expectations are maximum," Pique said on Thursday. "We go out as favourites, with a chance to win.
"I know the atmosphere is positive, very favourable, everything looks good, but I think we have to be more prudent.
"We have to learn from experience, what has happened in recent years, and know that one bad day could see you knocked out of the Champions League.
"A bad result against Chelsea could turn the good season we are having into one that's not so good.
"We know we are in a good position in the league and the Copa del Rey and we go to London in the Champions League looking to win, get through and progress in the competition."