The Italians endured a tough night at Stamford Bridge but eventually overcame the Londoners after Samuel Eto'o netted in 79th minute after the 2-1 in Milan last week.
Following the match, Sneijder was upbeat about the Nerrazurri's chances of at least getting to the final.
"This is an important result. Chelsea are one of the biggest teams in the world and to beat them, it's a big step. In Italy it's an important time, but we are still not in the final," he told Sky Sports.
"We can do it when we play like today, of course we can do it.
"They (Chelsea) want to fight and they did it in the first half but we dominated the whole game and there wasn't any danger for us.
"We knew we had to create chances and they came finally, really we should have scored more - two or three.
"In the first game we were a bit lucky but today we deserved to win."