The west Londoners were still able to secure a fourth-place Premier League finish and Champions League qualification, but Azpilicueta is in no doubt where the Blues must improve.
"The story of a lot of games this season has been that we were not clinical in the boxes," Azpilicueta told Chelsea's official club website.
"In the attacking box, we have missed chances but I think the big problem was that sometimes we were playing well but we were not strong enough in our box.
"I always think of the offensive and defensive phases as a team and as a unit we know we have to keep improving at the back.
"We have to reduce the numbers of goals conceded if we want to close the gap because it's a big difference.
"I'm sure we will work hard to reduce the gap and be close to the top next season."