The Swans host the Blues in the semi-final second leg of the Capital One Cup with a 2-0 lead but manager Laudrup does not want them to sit on that advantage as it could become dangerous especially with the visitors' away form in recent times.
"They have been much better away than at home," Laudrup said of Chelsea.
"It is different to start a game from 0-0 rather than 2-0, but the only danger is if we think can go out and just defend, 90 minutes is a very long time to do that.
"We have to be prepared to do a little of both. We have to try and get on the ball and look to attack, although we know there will be moments when we have to accept we will have to defend.
"For me and the players this is fantastic, and I would imagine it is for fans as well.
"We're not a club can pretend we go into these games very often, so now we have a possibility, a fantastic chance and we will do our best, and more than that if we can."