Chelsea, since winning impressively at Atletico Madrid last month, have lost successive Premier League games to Manchester City and Crystal Palace.
Blues head coach Antonio Conte has pointed to injuries and responded to Jose Mourinho's thinly-veiled barb after Wednesday's 3-3 draw with Roma, telling the Manchester United boss to concentrate on his own side.
Eden Hazard's second goal of the season earned the draw against Roma which ensured Chelsea avoided three straight losses for the first time in Conte's stewardship.
While Azpilicueta described the battling point as "big", the Spain defender wants a win against Watford in the Premier League on Saturday to boost confidence.
"The mood at the moment is not the best," Azpilicueta told the London Evening Standard.
"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.
"To come back into the game to get a point (against Roma) is big for the team, to show the character and that we won't give up.
"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."
Chelsea lead Champions League Group C by two points from Roma ahead of the October 31 fixture in the Eternal City.
Hazard wants a win there and early progression to the knockout stages.
Hazard, who scored his first Chelsea goals of the season and his first in the Champions League since March 2015, told Chelsea TV: "I think if we want to finish the job we need to win there
We know what to do
We want to finish the group stage as soon as possible and be the first team to be qualified."
Chelsea's trip to Rome is followed by United's visit to Stamford Bridge on November 5.
Mourinho opened the verbal sparring after United's win at Benfica on Wednesday night.
He did not name names, but it was clear he was thinking of his former club Chelsea and Conte, his successor as boss, when he talked of other managers who "cry and cry and cry" about injuries.
Conte hopes David Luiz will be fit to face Watford, rather than join N'Golo Kante, Victor Moses (both hamstring) and Danny Drinkwater (calf) in missing out
Tiemoue Bakayoko (groin) could also be a doubt.
Conte told Chelsea TV: "(Luiz) felt a bit of pain in his calf, but he should be OK for Saturday, I hope."
Source : PA