Swansea enjoyed a memorable 2-0 win at Stamford Bridge back in January in the first leg of their Capital One Cup semi-final.
Many would see a repeat as unlikely, but Laudrup believes a positive attitude is key.
"When you go to Stamford Bridge it is always tough," he said. "They won the Champions League and last year won the Europa League so they are a great team.
"A lot of these players could play against us, they could just put in the seven from the bench and they are all great players.
"We have to have the confidence we can get something, we have done it before, but you need a lot of things to go right for you to get something at Stamford Bridge."