With their title hopes also fading due to their worst Premier League run since 1995, it is understandable that Azpilicueta, 23, has been looking a little bit bewildered.
But he told the London Evening Standard: "The last month has not been very amazing because the results haven't been positive. It's been difficult.
"At Marseille I played in the last 16 of the Champions League in my first season and in my second we got into the last eight. This year I wanted to go further in the tournament with Chelsea but it's not going to be the case.
"It's true that when the supporters are with us it's easier. They call the name of Robbie [Di Matteo] instead because they think they should do that. But if we win more games, I think the fans will be happier."