The two clubs go head to head this evening, both looking to continue their unbeaten starts in the competition.
Chelsea kicked off their European campaign with a 6-0 thrashing of Qarabag, while Atletico were held to a 0-0 draw against Roma.
Both sides have been in good form domestically and will be expected to challenge for their respective league titles.
But Blues defender Azpilicueta does not believe Chelsea can consider themselves favourites to repeat their Champions League success of 2012.
Speaking ahead of the clash, the 28-year-old said: "It’s difficult to see us as favourites at the moment, in the biggest competition in Europe.
"We have been champions in recent years, reached the semi-final in 2014, but is too early to see ourselves as favourites and tomorrow is a good test to see our level."
Atletico have gone close to lifting the trophy on two occasions in recent years.
Los Colchoneros lost out to Real Madrid after extra time in both 2014 and 2016.
And Azpilicueta believes this makes them one of the teams to beat in the competition.
"Of course I consider them candidates to win the Champions League," he added.
"They reached the final in recent years, they fight to the end and have been together for a long time under the same manager.
"The block of the team has been respected, they know the way they play really well, they are improving and of course they are candidates."
However, the Spaniard reveals he and his team-mates are not daunted by the challenge that lies ahead at the Wanda Metropolitano this evening.
"I expect to see a brave Chelsea tomorrow," said the defender.
"We know we are facing a highly experienced team in the competition. After being one year away from Europe we want to do it right.
"We know it’s complicated but we are going to try and get the three points, play our game and we know we have to play a perfect match in order to get them."
