The defender arrived in the summer from FC Basel and is already impressing for manager Enzo Maresca.
"We have a really good group with great individuals and good values,’ Veiga said.
"We really like each other and are building a family, you could say. Everyone has integrated really well and the group is really together.
"There aren’t little groups within the squad like on other teams I’ve been on, but that happens and is normal. It’s special that here in Chelsea now, we have a big group, a big family, and everyone feels together."
Veiga says the players have quickly responded to manager Maresca's methods.
"That’s what the manager wants, that we can swap a player but the ideas and the timings are there," he told the Chelsea website.
"It’s independent of the player that’s in each position. The manager wants us to be in the right place at the right time. So that’s what we try to do, to follow what he says.
"We just have to put our quality in and enjoy the game."