The Merseyside club are preparing for their first FA Cup final since beating Manchester United 1-0 in 1995 and Baines believes that, although Everton will be regarded as underdogs for the tie, they can still defeat Guus Hiddink's side at Wembley.
The English national stadium, reopened after rebuilding in 2007, played host to several famous giant-killing acts in its old guise.
Wimbledon stunned Liverpool in 1988, Sunderland, then in the second tier, beat Leeds, then a major European force, in 1973 and West Ham, another second tier team at the time, shocked Arsenal in 1980.
Although an Everton win wouldn't be quite so remarkable, it would still register as a significant surprise given Chelsea's vast resources and the depth of talent at Stamford Bridge.
"It's a game we have to believe we can win," Baines said. "We have to believe we can go and put in a good performance.
"It is always tough playing a side like Chelsea and I think it has been a long time since we have beaten them.
"But we have taken a point in both league matches this season and that will give us confidence going into the game."
Everton beat Manchester United on penalties in the semi-finals this season, which also took place at Wembley.
Toffees manager David Moyes has previously criticised the decision to play the last four ties there after outlining his opinion that the final should be kept as the only fixture played at Wembley to preserve the FA Cup's unique nature.
Baines agrees and he said: "I think the general opinion among those you speak to and among the players is that the semi-finals wouldn't be played at Wembley.
"You want the final to be there and that makes it extra-special. But it has been fantastic for us though because it has given the lads here the chance to play there beforehand and get the experience of playing there." -- AFP
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