The Blues went to Denmark and left with a victory and a slight aggregate lead, but Gabriel Pereira's late header means the Danish side aren't out of it.
Enzo Maresca's team are the clear favourites to win UEFA's newest competition, given the players they have at their disposal.
They didn't even register Cole Palmer for the group stage, while he is now back in the fold for the knockout rounds.
But even without him, they won every game to finish at the very top of the pile.
Should they see off Copenhagen at Stamford Bridge in the second leg, they already know who their next opponents could be.
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Chelsea will feel they ended up on the more favourable side of the draw, with the Blues not able to meet Fiorentina or Real Betis until the final.
The Italian side are two-times runner-up, while Betis are managed by former Manchester City boss Manuel Pellegrini.
On the Blues' side of the draw, Legia Warszawa and Molde represent the biggest teams.
And it will be one of these that Chelsea face in the last eight.
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As it stands, it looks like it will be Molde, though the tie is in the balance.
The home side took a 3-0 lead into half time and looked to have the match and tie wrapped up.
However, the Polish giants responded well in the second half and grabbed two goals.
That means they welcome Molde knowing they only need one goal to level the contest.
Of course, Legia will be backed by a passionate home crowd, so that tie is far from over.
The reward for the winner will be a game against either Chelsea or Copenhagen.
Of course, the Blues will feel that they have more then enough to get past their Danish opponents, but Maresca wasn't happy his side conceded near the end while he rates Copenhagen.
Speaking at his post-match press conference, he said: "We could avoid that. It's football, it can happen.
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"Now, 90 minutes is finished - we are happy, we won. We have 90 more minutes against them next week.
"I watch many games when we face a team, so I watched many games from this season in the Conference League and also in the league.
"They never played with a line of five. In the last two years, they played two games with a line of five. Tonight, they played with a line of five and surprised us.
"Overall, I think we did quite well. They are a very good team, they play very good football, with a good manager, good young players. Very good."