Swansea have a good home record against the Premier League big guns and have twice drawn 1-1 with the Blues at the Liberty Stadium, but their only visit to Stamford Bridge since returning to the top-flight ended in a 4-1 defeat.
Laudrup knows a repeat scoreline on Wednesday night would effectively end the tie, but is excited at the prospect of being able to bring the Blues back to south Wales with the tie still in the balance.
He said: "I always preferred being away first in these games. I have done both as a manager and a player and if I had to choose I would prefer to play away first.
"The different thing is it is not a complete game, it is only the first half and we play the second half here in two weeks' time.
"It is difficult to play a game when you know you have another one to come, but we know it is important to get a result so we can play the second leg here in front of our fans with the possibility to go through.
"It will be difficult, we know that. To beat Chelsea in one game is difficult, over two games it is even more difficult.
"But we have to give it a try, and we will give it a try and I hope the confidence we have built up in recent weeks can help us."