The standout story of the third round ties saw Cambridge claim a 1-0 win against one of the world's richest clubs, Joe Ironside scoring the decisive goal.
Brophy, speaking to his brother and talkSPORT.com's Joe Brophy, said: "I can't believe it, it still hasn't hit home that we're in the draw for the fourth round.
"It's an amazing day. We obviously had belief in us but knew the expectation and we're realistic, but we fought against the odds and we came away with an unbelievable victory."
Brophy started the match on the left side of midfield, meaning he was up against the Magpies' new signing Kieran Trippier.
On facing the England international and LaLiga winner, Brophy added: "It's really good to play against the best. He's been playing at the top level for a long, long time and it was a good challenge.
"I thought I was a match with him for most of the match."
Cambridge acquitted themselves brilliantly at St James' Park, however, they needed to call on the efforts of goalkeeper Dimitar Mitov, who made a number of sterling saves to keep the Premier League side at bay.
Brophy added: "Dimi was unbelievable, he saved his best performance for this game! We needed everyone at a really high level, to be at their maximum to even stand a chance and we were all near enough there.
And Brophy is in no doubt over who he wants in the fourth round, saying when asked who he'd like Cambridge to draw: "Chelsea away!"
With Chelsea racing to a 4-0 lead in the first half of their tie against Chesterfield that possibility seems very real.