The Swans are ninth in the Premier League and are all but safe from the threat of relegation, and have already secured their place in the Europa League next season following their Capital One Cup final win.
Laudrup told reporters: "Everybody is saying 'what a great season you had' but it should be 'have' not 'had', because we are still playing.
"There are a lot of people in this city who think the season has finished. I don't want that. We have to play to the last game because I want to finish as high as possible.
"The only thing I want is to get the mentality that while what we have done is good, we have to go on."
Next up for Swansea is a trip to Stamford Bridge to take on Chelsea.