Swansea stand on the brink of a first appearance at a major cup final after they stunned the European champions with a smash-and-grab raid at Stamford Bridge in the first leg.
Michu and Danny Graham grabbed the goals to put the south Wales club within sight of Wembley and stoke up the excitement within the city.
Laudrup has been quick to play down expectation levels, and has pointed to Chelsea's excellent away record as evidence the tie could yet get away from his side.
And the Dane knows attempting to simply hold on to their advantage could be a recipe for disaster.
He said: "They have been much better away that at home.
"They won 4-0 at Stoke, they got five against Southampton and against Leeds. They also won at Everton, so they are maybe the best away team in the Premier League.
"It is different to start a game from 0-0 rather than 2-0, but the only danger is if we think can go out and just defend, 90 minutes is a very long time to do that.
"We have to be prepared to do a little of both. We have to try and get on the ball and look to attack, although we know there will be moments when we have to accept we will have to defend.
"For me and the players this is fantastic, and I would imagine it is for fans as well.
"We're not a club can pretend we go into these games very often, so now we have a possibility, a fantastic chance and we will do our best, and more than that if we can."