Arfield gave the Clarets a surprise lead at Turf Moor on Monday night, but Chelsea responded to earn a 3-1 win in the Premier League encounter.
Despite losing their opening match of the campaign, Arfield believes that he and his teammates can be encouraged by their performance against the might of Jose Mourinho's side.
"We got an early goal but even after that we were under no illusions as to how tough it was going to be and there are definitely positives to take out of it," he told the club's official website.
"For us it is still a case of taking one game at a time and there is no disappointment regardless of this result, we're on to the next game now."
Burnley are back in Premier League action on Saturday with a trip to Swansea City.