The Blues secured a vital 1-0 away win over Atleti on Wednesday, thanks to an acrobatic bicycle kick from Olivier Giroud.
But skipper Azpi does not believe Diego Simeone's side will lie down in the second leg.
He said: "Now we have it in our sights but there is still a lot to do and we fully believe that we are very capable of doing a good match again in the second leg.
"We play every game to win. We scored one away goal and it is important, we won, we didn't concede any chances or goals. We've played the first leg and it's a positive result, but we know there is lots to do and we work to improve and go through."
On the win in Bucharest, Azpi added: "That was obviously a tight game, there were not a lot of chances.
"We knew we had to make the most of them because they are very solid, they defend together, it is not easy. We had to defend together as a team and we did a solid team performance, but there is still a lot to do.
"They are a solid team. We know that they have quality players, that they can make a lot of chances with different solutions and when it is a Champions League last 16 we know that every chance is very important."