Caballero is Leicester City assistant coach and has been preparing for their FA Cup quarterfinal on Sunday.
"For us now, it's a privilege to come to Stamford Bridge," he told the Chelsea match programme. "We've been playing good teams and getting very good results, but the most important thing is we have a good idea of playing that was reflected in the last rounds.
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"It would be fantastic to come to Stamford Bridge and try to play the same way.
"It's my first season coaching and I'm learning a lot. I just finished my playing career a few months ago.
"It's another big challenge, but I'm enjoying it because it also gives me an opportunity to grow up as a person, as well as a coach, or possible manager in the future."