The Eagles started the season well with victories at home to Southampton and away at Manchester United, but the tide then changed when they were beaten 2-1 on their turf by an impressive Everton side last week.
The misery would continue at Stamford Bridge with Ben Chilwell, Kurt Zouma and Jorginho twice from the penalty spot, doing the damage.
Eze started for the second game running and completed 90 minutes for the first time in the league, but it continues the streak of Palace losing each time he has started a match, a run which began in their 11-10 penalty shootout loss by Bournemouth in the EFL Cup second round.
"It’s not easy," he told Premier League Productions as told on the Crystal Palace website. "They’re a good side and they punish you if you give them the chance so it’s a bit of a kick in the teeth but we have to go again.
"As an attacking player you want to be creating and scoring goals but they were a good side and we weren’t up to it today.
"We want to work as hard as we can and finish as high up the table as we can. So, results like today, we just have to move on and keep working.
"It’s difficult because you never want to concede four goals but we worked hard against a very good team, but if you give them opportunities, they’re going to take them, so it’s tough."
Palace boss Roy Hodgson urged his players to take confidence in themselves rather than dwell on the painful defeat.
"When you get beaten as heavily as four goals to nil it’s even harder," he said. "I thought in the first-half we defended extremely well and I must say I didn’t really see them scoring four goals in the second-half if we continued to play in that vein.
"[The lessons are] to make certain we show confidence in ourselves when we have a chance to break out and get our foot on the ball - that we take advantage of that and show the necessary belief in ourselves when that type of situation occurs. Otherwise, I’m afraid there’s nothing to learn from it other than that defeats are very painful."
Palace will hope to get back to winning ways when they host Brighton and Hove Albion at Selhurst Park after the international break.