The Blues will go into the contest with a slight advantage after winning 1-0 in France last week.
Match preview
Guro Reiten's 28th-minute strike proved enough to secure Chelsea a first-leg win and a fourth straight victory in all competitions.
The energy exerted in France appeared to catch up with the Chelsea squad on Sunday, as they fell to a disappointing 2-0 defeat to title rivals Manchester City.
As a result, Chelsea dropped down to third place in the Women's Super League table, although they still have a game in hand over the top two of Manchester United and Man City, who are just a point ahead.
The Blues will now turn their attention to their European campaign, and they will be confident of protecting their first-leg lead, having progressed from all three of their previous Champions League quarter-final ties.
Emma Hayes's side have also proven to be an invincible force on home turf this season, winning all 12 of their home matches across all competitions.
Having won the Champions League on eight occasions, Lyon are the record winners of the competition, but they will need to mount a fightback on Thursday if they are to remain in the hunt for a ninth European title.
Sonia Bompastor's side warmed up for the all-important second leg with a statement 6-0 victory over Guingamp on Saturday.
Signe Bruune scored a brace to get Lyon up and running, before Vicki Becho, Ada Hegerberg, Eugenie Le Sommer and Danielle van de Donk all added their names to the scoresheet, ensuring Les Fenottes remain one point clear of Paris Saint-Germain at the top of Division 1 Feminine table.
As Lyon turn their attention to Thursday's encounter, they can draw inspiration from the fact that have only failed to progress from just one of their 13 European quarter-finals.
The visitors have already claimed victory in the English capital this season with a 1-0 win over Arsenal in the group stage, and a repeat of that scoreline would send the last-eight tie to extra time.
Chelsea Women Women's Champions League form:
W
W
D
W
W
W
Chelsea Women form (all competitions):
Lyon Women Women's Champions League form:
D
W
W
W
D
L
Lyon Women form (all competitions):
Team News
Chelsea are still unable to call upon the injured trio of Pernille Harder, Katerina Svitkova and Fran Kirby.
Erin Cuthbert was forced off in the second half against Man City, and she is a major doubt for Thursday's second leg.
The Blues are hopeful Millie Bright can return to the backline after missing Sunday's defeat due to an injury she picked up against Lyon last week.
Lyon, meanwhile, are set to travel to London without Griedge Mbock, Amandine Henry and Catarina Macario, who are all struggling with injury issues.
Hegerberg scored within a minute of her introduction at the weekend after making her long-awaited return from injury, but due to her lack of match fitness, she will have to settle for a place on the bench once again.
After missing out on a starting place for the first leg, Selma Bacha could feature from the off after playing the entirety of Saturday's comfortable win over Guingamp, where she provided two assists.
Chelsea Women possible starting lineup:
Berger; Perisset, Buchanan, Bright, Carter; Leupolz, Ingle; James, Fleming, Reiten; Kerr
Lyon Women possible starting lineup:
Endler; Carpenter, Gilles, Renard, Bacha; Horan, Egurrola, Marozsan; Cascarino, Dabritz, Le Sommer
We say: Chelsea Women 2-1 Lyon Women
Lyon's impressive European record proves that they rarely falter at the quarter-final stage, but we think they may struggle to mount a turnaround on Thursday.