Jose Mourinho admitted losing at Walsall was not an option after Chelsea's previous cup shocks.
The League Cup holders beat the hosts 4-1 to avoid an upset as their revival this season continued.
Ramires, Loic Remy, Kenedy and Pedro all scored to wrap up a comfortable third-round victory on Wednesday.
Chelsea were stunned 4-2 by Bradford City in the FA Cup last season and, after earning just seven points from their opening six games to sit eight points off leaders Manchester City in the Premier League, Mourinho knew a win at the Banks's Stadium was vital.
“When you start the season with bad results like we did you cannot lose against a League One team,” he said. “You can do that when the season is fantastic and you are top of the league – like happened last season.
“To lose a game against a League One team now would not be good for us. We don’t need that bad feeling now, we need good feelings.
“The team was strong, played well and I’m happy with the result.”
But Mourinho was clearly unhappy at Diego Costa’s suspension as he bit his lip to avoid a ban of his own.
Costa was hit with a three-game ban by the Football Association on Tuesday over an incident, not seen by referee Mike Dean, where he appeared to raise his hands to Arsenal defender Laurent Koscielny in Saturday’s 2-0 win.
Earlier on Tuesday Arsenal defender Gabriel Paulista won an appeal against his red card for confronting Costa after the initial incident at Stamford Bridge.
Chelsea have stated they are “extremely disappointed”, and a clearly unhappy Mourinho refused to land himself in trouble.
He said: “If I bring examples, if I go deep and if I bring feelings into the discussion, a big suspension will be waiting for me and I don’t want that. The team doesn’t need that, the team lost an important player for three matches and I don’t think they need to lose their manager.
“Every time you lose a player it’s not good for the team. It’s easier to accept an injury but this kind of situation goes much more deeper in feelings and the team is hurt.
“But now we know something, that retaliation is allowed now. No problem, you can do it.”
League One side Walsall, second in the table, made it 2-1 just before half-time through James O’Connor and coach Dean Smith felt the scoreline was harsh.
He added: “The team talk was ‘we’re not here to try not to lose, we’re here to try to win’. They make it very difficult for you and they protect their back four very well, we gave it a go and we’re disappointed with the scoreline a little bit. Maybe 4-1 flattered them a wee bit.”
Follow us on Twitter @NatSportUAE