Saturday's goalless draw against the Saints extended the Swans winless run to five games, but they did at least keep a clean sheet after leaking eight goals in their previous four fixtures.
Swansea have faced Chelsea three times already this season and are unbeaten having conceded just one goal against last season's European champions.
But manager Laudrup knows just how stern a test they will face at Stamford Bridge.
"When we play big games, everyone will be focused on defence because if you do not defend well at Chelsea or Manchester United, then they will score three or four against you," he said.
"I said to the players before the Southampton game that we have conceded too many goals, and that even at home we need the mentality to keep a clean sheet first.
"If we concede one or two goals we need two or three to win and that is too much to ask, as we saw in the four games before last Saturday.
"We have to keep that going when we play Chelsea."