The Blues host Europa League champions Sevilla at Stamford Bridge on Tuesday, and their Spanish captain - who previously worked with opposing manager Julen Lopetegui in the national setup - says they must start on the front foot.
"That's the way sometimes - a group goes up to the last second," Azpilicueta said in the Chelsea programme.
"We knew last year that we had to fight to qualify after we lost the first game at home against Valencia.
"That put us in a difficult position, but we were able to recover with two wins in the next games. Hopefully, we have learned from that.
"With our first game at home again, we have to start strong and then kick on.
"Sevilla have shown their quality - they are Europa League champions. I know Lopetegui, who was the manager of Spain.
"They are going to be a dangerous team but it's our first game of this group, we are at home against them, and we have to go for it."