Burnley advanced to the quarter-finals of the competition after a penalty shoot-out success at Stamford Bridge.
Substitute Ade Akinbiyi scored a second-half equaliser for the Championship side before keeper Brian Jensen was the hero in the shoot-out.
Scolari acknowledged the profligacy in front of goal cost last season's runners-up and he believes it is an area which requires improving.
"We feel if we made one goal more we would finish the game," Scolari told Sky Sports.
"It's what I say every day to my players that when you arrive in front of goal you need to make a goal, you need to score, and we made a mistake two, three, four times.
"They had one chance to score and they scored - finish."
"Every time we lost it's a problem for us. We need to try again with the confidence for the players.
"We are in a good position in the Premier League, we are in a good position in the Champions League and now we are out of this cup."