The Blues have been one of the most entertaining teams in the Premier League this season under Frank Lampard.
But if there is one area where they have struggled, it is defensively. And Azpilicueta wants them to become more difficult to break down.
"It is something we have to improve because we are conceding a lot of goals," he told reporters.
"We make it more difficult for us because if we kept a clean sheet and went in 1-0 at half-time then the second half could be more open and we would have had everything in front of us.
"And against West Ham, if we don't concede the goal, I'm sure we could push and maybe score one goal and win. Against Crystal Palace, even if it was not our best game, 2-0 was enough.
"It is an area where we need to improve because the solidity defensively is key in the season and I'm sure we will keep working hard to get that. Offensively, we are creating a lot of chances, scoring a lot of goals.
"We are creating more. I'm sure we will get that killer instinct better through the season. It is something we have to improve."