Some reports have claimed that the Blues would not take the tournament too seriously, having qualified for the knockout stages after they had failed to progress beyond the Champions League group phase.
However, Terry has revealed that the entire Chelsea squad are eager to lift the trophy in Amsterdam this May.
"We're now in the Europa League and there is one message — we have to go and win it. It's as simple as that," the London Evening Standard quotes the 32-year-old as saying.
"We have to make sure that we're switched on in European weeks because games will be coming on Thursdays and Sundays, which is a different situation for us."
Chelsea's first match in the competition will see them face Sparta Prague on Thursday.