The right-back admitted it had been a difficult few days for the players ahead of their win at Europa League opponents Malmo.
"I was very angry, very frustrated," Azpilicueta explained. "There were some tough days, the feeling was really bad. When you lose in this way, it's very tough and the only way is to put your head down, work hard and get back to winning ways as quickly as possible. We have to stick together, the fans, the club, and hopefully we can give back some happiness by working hard and getting results.
"Sunday was unacceptable. We had a reaction today but we need consistency. We have an important game on Monday (against Manchester United in the FA Cup) and we know what it means to everyone. We are the champions of the competition and we will try to get through."