The Blues won European club football's top prize for the first time in their history thanks to a dramatic penalty shootout victory against Bayern Munich in May.
"It will be complicated as now we are the team to beat, as Chelsea won the Champions League last year," Hazard told UEFA's official website. "We also know it will be difficult to win it twice in a row.
"The most important thing is to take it one game at a time and see what we can achieve."
Chelsea take on Atletico Madrid in the UEFA Super Cup in Monaco on Friday.