The Blues beat Malmo 2-1 in Sweden on Thursday evening.
Goals from Ross Barkley and Olivier Giroud ensured Chelsea bounced back from their 6-0 humiliation against Manchester City last weekend.
Anders Christiansen netted a late goal for Malmo to cut the Blues’ lead in half ahead of the second leg at Stamford Bridge.
And Sarri has revealed his players were worried about Malmo’s set-piece threat ahead of kick off on Thursday.
“I think we played a good match against a team who are very physical, we were scared a bit of set pieces,” he said.
“We were in control of the match and we deserved to win with more goals.
“I am happy because we played with confidence and it wasn’t really very easy after the last match [the 6-0 loss to Manchester City].
“Yes, we played very well and we conceded on a mistake and that can happen but the level of attention was really very good for 90 minutes so I am very happy, but we know we have to gain the qualification in the next match.
“I think I am always confident but sometimes we had the wrong approach with matches so we need to be careful in every match.”
Chelsea are battling to finish in the top four in the Premier League, with Sarri’s men also in with a shot of winning the Carabao Cup and the FA Cup.
The Blues face City next weekend in the Carabao Cup final, with Chelsea hosting Manchester United in the FA Cup on Monday evening.
And Chelsea captain Cesar Azpilicueta has assured Blues fans they are desperate to win silverware this season.
He added: “It was a tough defeat last Sunday but we are in the knockout stage and it’s important to start well.
“We had chances to have a more comfortable result but they scored and there is still a lot to play for next week.
“In the second half we had whole control of the game and had a lot of chances, it’s frustrating to concede a goal and not to have a better result. It’s still all to play for.
“This tournament is very important, we are fighting for trophies and to be in the top four.
“We are in the Carabao Cup final next week, every trophy is important.”