Having joined Chelsea as European champions from Marseille, Azpilicueta expected to be challenging for the top honours during his first season in English football.
"I came here and Chelsea were champions of Europe," said Azpilicueta, who this month won his first cap for Spain. "We had another manager, so you don't think that in February you are going to be like this.
"At Marseille last year, I played in the quarter-final of the Champions League. So when I came here I thought I would get further than that.
"But we didn't do it and now we are in the Europa League and still in the FA Cup. It has been a shock, but if we are here it is because we didn't do the right things. So now we need to look forward and make the future good."