The Blues managed a goalless draw against Barcelona at Camp Nou on Tuesday.
“Last season was very hard, that is why we are here,” Anelka told Sky Sports News.
“I think it was a tough game in Barcelona, but we managed to draw the game and we have a good chance to go through.”
He added: “We have a good chance – if they score a goal it will be difficult but we have to attack and try and win the game.”
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Since Guus Hiddink arrived at the helm, Chelsea have improved considerably after a tricky start to the campaign.
Newcastle United are staring down the barrel of relegation to the Championship for the second time in the past eight years.