A pair of Branislav Ivanovic mistakes ensured the Swans got full reward for a battling performance at the home of the European champions.
Michu swooped on Ivanovic's initial error in the first half before Danny Graham gave the Welsh club a near-decisive lead in injury-time.
Laudrup admitted the performance was one of the best since he took charge in the summer, but warned his side could ill afford to begin thinking about a Wembley final.
"To be honest I'm delighted with the result. I would lie otherwise," he said in an interview on Sky Sports 1.
"I think we have had some historic results already this season - winning at Anfield and at the Emirates. Winning at the European champions though is something very special.
"But there is still a mountain to climb. They have so much quality and we will have to play exactly the same; with the same intensity.
"They could still score three of four goals against us.
"But I am most happy about going into the second leg at home with a possibility to play a final at Wembley."
Laudrup offered most praise for his side's defence, who restricted Chelsea's chances despite conceding the majority of possession.
"I think we knew it would be a difficult game," he said.
"The possession they had was much more than us - that's obvious. But to be honest they only had three big chances.
"They gave us two goals, but you have to score them. They are two mistakes but even if you take away the two goals they only created three chances. It was a marvellous fight."
Michu's signing caused barely a ripple when he moved from Rayo Vallecano last summer, but the £2million man now has 16 goals to his name.
His performances have raised inevitable questions about his future, but Laudrup doubts whether anyone can afford him.
"We all know the economic situation in the world, so there really aren't that many clubs who can buy him," Laudrup said.
"There are some here, in Spain there are only two teams (Barcelona and Real Madrid)... Italy, I don't think so. They're trying to sell... Bayern Munich in Germany... so only a few, few clubs.
"And Michu likes it here. He's happy where he is, so I'm really not afraid because I'm so sure he will stay with us for the next five or six months. I don't know in the summer."
Defender Ashley Williams admitted the return leg in a fortnight would be one of the biggest occasions in the club's history.
"It will be a massive game. We're only half-way their in a massive tie," he said.
"If we do get to Wembley it will be massive for everyone.
"We just wanted to get a result and bring them back top our place and try and finish the job.
"Tonight [Wednesday] we just wanted to play our own game and not let the occasion get to us.
"We stayed calm and played the way we wanted to."
Michu added: "The key was that the whole team worked very hard. I'm very happy for the team."