The Frenchman scored the first goal in the Blues' 2-0 victory over the German outfit, but was forced off through injury late on.
Jadon Sancho's cross from the right was guided into the path of Nkunku, who smashed the ball in from close-range on 51 minutes.
It has taken his season goal tally to 11 in all competitions, the most for the club so far this season, with five of his strikes coming in Europe's third-tier competition.
However, Nkunku's goal has also seen him become the first Chelsea player to score in all of his first four major European matches.
His first came in the 4-2 in over Gent before he added another in the Blues' 3-0 victory away to Panathinaikos.
READ MORE ON CHELSEA
Reece James sidelined until 2025 as Chelsea captain suffers another injury setback
Chelsea in talks to sign wonderkid son of Arsenal cult hero
Nkunku then scored two goals in their 8-0 thrashing of Noah, with Heidenheim the latest club to concede against him.
As well as this, he is the first player to net in four consecutive matches for Chelsea since Olivier Giroud did in the 2018/19 season.
Unfortunately for Nkunku, he was substituted late on with an apparent injury he sustained during a chance he had on goal.
He could now be a doubt to face top four rivals Aston Villa at Stamford Bridge on Sunday.
Most read in Football
Real Madrid team bus crashes into lorry on M40 after Liverpool defeat
Bristol Rovers manager Matt Taylor steps away indefinitely due to family emergency
Liverpool sweating on Conor Bradley scan amid fears of lengthy injury lay-off
Man United 'draw up seven man January transfer shortlist' with two positions targeted
Carney Chukwuemeka was his replacement and helped Chelsea to see out the win that maintains their 100 per cent record.
Mykhailo Mudryk sealed the deal late on when he fired into the top-right corner from Sancho's pass.
Though the Blues has to play the last few seconds with ten men after midfielder Cesare Casadei was sent off for two yellow cards.
Enzo Maresca's side were disappointing overall on the night, but he will be happy to have seen his men take all three points in Germany.
Chelsea could well have scored three goals in the first half, however a lack of quality in the final third prevented them from doing so.
The Blues will be hugely thankful for Filip Jorgensen, who made an excellent double save in the second half to keep their one-goal lead before Mudryk's goal.
Heidenheim thought they had scored when approaching the final ten minutes of the match, but their finish was flagged for offside.
Chelsea eventually made it to full-time with yet another win under Maresca to their name and are back top of the Conference League table.