The two London clubs will do battle in the Premier League at the weekend.
With the Hammers experiencing a mixed start to the season, Lopetegui is hoping they can get a win against a tough opponent.
He told reporters: “It’s another big match for the fans, and my message to them is that we are really grateful for their support. They are always there for us, both at home and at our away matches, too.
“We are working hard to give them good news and good performances. We know we have a big test on Saturday, in a game against one of our rivals, and we are going to feel their support.”
On playing Chelsea, he added: “In each match in the Premier League there are huge difficulties. Every team has quality, and the ability to beat anyone else.
“That is why you have to put all your focus on your next match, which in this case is against Chelsea, who are a top team.
“They have quality and quantity in their squad. They have a good coach, with good ideas, and they are trying to develop a way to play.
“We respect them and their abilities, but we have to put our focus on our players and our ideas, too. We believe in ourselves and our strengths, and we will go into the game looking for the right result.”