The Blues have lost their last two Premier League matches to Manchester City and Crystal Palace, and were held to a 3-3 draw by Roma in the Champions League on Wednesday night.
Azpilicueta has claimed that the mood in the Chelsea camp "is not the best" as they prepare to welcome an impressive Watford in the Premier League this weekend.
"The mood at the moment is not the best. To come back into the game to get a point is big for the team, to show the character and that we won't give up," Azpilicueta told the London Evening Standard.
"But the reality is that we have gone three games without a win and we will try to get back to winning ways on Saturday. It's true that we are not in our best moment. We came into the game after two consecutive defeats in the Premier League.
"We had the game in our hands when we were 2-0 up, but we also had it lost when we were 3-2 down. We managed to get a point, we are top of the group and we will keep fighting."
Chelsea are currently top of their Champions League group on seven points from three matches.