Ba enjoyed a prolific 18-month spell with the Magpies, scoring 29 goals in 54 Barclays Premier League appearances, but he then angered many Toon fans by leaving the club at their lowest point to join the Blues.
Azpilicueta said: "I don't know how they [Newcastle fans] feel. Demba is a Chelsea player. He's going to do his best for Chelsea. It's true that he played very well there so I think they must be disappointed because he's a very good player, but he's going to be focused on the game."