Ferland Mendy and Tammy Abraham then came close for their respective sides, the Lyon left-back cutting onto his right before rifling over, and the Chelsea forward sending his header wide after it bounced into the ground.
Both sides continued to weigh in with dangerous chances, in particular Houssem Aouar's narrow miss when one-on-one with Bulka and Anthony Lopes's save from Willian's free kick, but neither could break the deadlock come the half-time whistle.
Following a slow start to proceedings in the second period, the game burst into life around the 50-minute mark as Bertrand Traore scuffed wide of the post, Depay was denied by Bulka, Loftus-Cheek was denied by the woodwork and Abraham headed wide from Victor Moses's cross.
The hour mark, however, marked the start of widescale substitutions for both sides, which largely robbed the game of its momentum as the two managers sought to give minutes to as many players as possible.
Indeed, the first real chance since the flurry of changes came on 78 minutes, as Ross Barkley saw an effort from 10 yards charged down by a Lyon defender, while Marcelo failed to test Robert Green with an 86th-minute strike.
Neither side could be separated come the final whistle, which meant that a penalty shootout had to be utilised, and following eight successful spot kicks shared between the competitors, Green saved from Pape Cheikh Diop before Eden Hazard struck the winning effort.
Up next for Chelsea is their Premier League opener away at Huddersfield Town on Saturday.
CHELSEA (4-3-3): Bulka (Green 74'); Zappacosta (Azpilicueta 74'), Christensen (Cahill 74'), Ampadu (Rudiger 74'), Emerson (Alonso 74'); Loftus-Cheek (Barkley 59'), Bakayoko (Jorginho 59'), Drinkwater (Kante 59'); Moses (Piazon 68'), Abraham (Giroud 68'), Willian (Hazard 68')
LYON (4-3-3): Lopes; Dubois (Rafael 65'), Marcelo, Morel, Mendy; Tousart, Ndombele (Diop 65'), Aouar (Ferri 79'); Traore (Gouiri 85'), Mariano (Terrier 65'), Memphis (Tete 79')