Chelsea are at Sparta Prague this week.
"We want to play every few days because it means we are still in competitions," Azpilicueta, who impressed in Saturday's 4-1 Barclays Premier League defeat of Wigan, said on chelseafc.com.
"It is very important for the team to keep going in the Europa League and the FA Cup. It is true the Europa League is not the same as the Champions League because that is the top but the Europa League is a big competition, an important competition, and now we have the chance to win it.
"Never in the history of Chelsea have we won this cup and we are going to try to do it."