The Clarets took the lead at Turf Moor thanks to Scott Arfield's opener, but Jose Mourinho's side hit back through Diego Costa, before Andre Schurrle and Branislav Ivanovic wrapped up the points for Londoners.
However, despite the opening-weekend defeat, the Burnley boss was pleased with his side's display.
He told Sky Sports News: "It's the reality of the market that we are going into, and Chelsea are at the top of that. They have power, quality, pace and can hurt you in many ways.
"That's what you get for £300m or whatever [they have spent]. We kept trying to play and will try to keep the inner quality, and inner belief.
"We will learn from a game against Chelsea, it's the top of the market and they will be a force this season."
Burnley travel to Swansea City on Saturday.