With the club trailing Barclays Premier League leaders Manchester United by 12 points, perhaps the best chance Carlo Ancelotti's side have of lifting a trophy this year is in the Champions League.
The Blues are on course for a quarter-final position after beating FC Copenhagen 2-0 in the first leg of their last-16 tie in Denmark two weeks ago.
Should they make this year's final, which will take place at Wembley on May 28, history suggests they will have a good chance of taking home their first Champions League trophy in history.
Since Kalou joined Chelsea in 2006 Chelsea have won four finals at Wembley - the 2007 Carling Cup, and the FA Cup Finals in 2007, 2009 and 2010.
They won two FA Cup semi-finals at Wembley in 2009 and 2010 and also lifted the 2009 Community Shield in the same stadium.
The only two defeats during that time came in the 2007 and 2010 Community shield where the club lost on both occasions to Manchester United.
"I love playing at Wembley. It is a great stadium, it has an amazing atmosphere and it is a special place for us," Kalou said.
"Hopefully we can get here for the final because it is our lucky stadium. Every time I came to Wembley for a final, we have had a good game and we won."
Kalou was speaking alongside Arsenal midfielder Samir Nasri at Wembley at the launch of the adidas Finale ball, which will be used in the final.
The Frenchman said that he would love Arsenal and Chelsea to play each other and Kalou agreed, saying: "I would love that too because we have a great record against Arsenal."
Chelsea looked back to their best on Tuesday night when they beating United 2-1 at Stamford Bridge.
Despite still trailing Sir Alex Ferguson's side by a big margin, Kalou insists that the Chelsea squad must believe that victory in both the league and the Champions League is still a possibility.
Kalou said: "We have to fight for both competitions, even though in the Premier League it will be more difficult to win it.
"But we have to do like we did on Tuesday night, we have to keep believing and take it game by game.
"I think we are showing the good side of Chelsea, because we can't just fight for one competition, we always fight for every competition."
Chelsea were boosted by the news today that Yossi Benayoun has returned to light training.
The midfielder has been out since suffering a torn Achilles on his second start for the club in September but is expected to be back in action next month.
David Luiz, who scored Chelsea's first in Tuesday night's win, picked up a minor hamstring injury against United but is expected to figure in the Blues' next match against Blackpool on Monday night.