The Blues are roaring in both the Premier League and Champions League, and looking like genuine contenders for trophies.
They impressed during a 4-0 away win against Sevilla in the group stages in midweek, despite resting several key players.
"Let's take things step by step," Azpilicueta told the club's website when asked about expectations this season.
"We have achieved everything that has been asked of us so far this season.
"So now, why not?
"Our aim is to win every game."