Juve face Ajax in the second-leg of their tie tonight defending a 2-1 lead.
Chiellini said: "We aren't particularly tense, but we certainly care about the game against Ajax.
"We are out of the Cup and the title race and we will try to go forward in the Europa League. In Serie A our objective is to finish as high as possible. Now we are fourth and focusing on third place.
"We are concentrating on the next few games, because we know that a little bad spell can ruin everything. We need to live each moment and when things go bad it's wrong to feel them too strongly."