The 3-0 reverse at Stamford Bridge saw Chelsea lose the Champions League round 16 tie 8-2 on aggregate.
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Caicedo said afterwards: "It was disappointing for everyone.
"Of course, we know PSG are a very tough opponent. We tried to show our best, but they are the current champions of the competition. We did our best, but we didn’t get what we wanted."
He also said: "We wanted to do better, but (PSG) are one of the best teams in the world. We are disappointed and want to do better.
"Everyone was ready to fight, but I think we have four competitions playing every two or three days. Sometimes, in this scenario, it’s so difficult because they are doing well. We will keep going."