The Blues fell to their fourth loss in their last eight games on Monday night, with Paul Pogba playing a starring role for United as the Red Devils eliminated Maurizio Sarri’s men from the FA Cup.
The Stamford Bridge side have also suffered humiliating defeats to Bournemouth and Manchester City in recent weeks, further casting doubts over Sarri’s future at the club.
The Italian manager appears to be failing to implement his 'Sarriball' style of football with any degree of success, with the club now also sixth in the Premier League.
And Pedro, who has been a Chelsea player since 2015, has called for his club team-mates to bounce back immediately over the next week.
“It was a very bad day for us, for all the team. It’s a difficult situation. In the first half we played very well, we created chances to score one goal, but they had two situations and scored two goals.
“The most important thing was to do a good job creating chances with the ball in the second half, but we couldn’t do it and for this reason it was so difficult for us to come back.
“There is an important game in the Europa League for us, and, after, the final against City.
“The most important thing now is to stay calm, train really hard and recover our best football and our best feeling, because if not we are in trouble.”
The Blues host Malmo in the second leg of their Europa League round-of-32 tie on Thursday night before the Carabao Cup final at Wembley on Sunday.
The London club currently hold a 2-1 aggregate lead over the Swedish side, having beaten them last week courtesy of goals from Ross Barkley and Olivier Giroud.
If Sarri remains in the dugout for the foreseeable future, a triumph in Sunday's Carabao Cup final will be his first ever piece of silverware as a manager.