Azpilicueta, who broke the deadlock in west London in the first half, said: “It was a good performance I think.
“We controlled the game, moved the ball, created chances, defenced well.
“We didn’t face a shot on goal. It was a solid performance, a good start. We have to keep working and improving.”
Burnley boss Sean Dyche, meanwhile, has insisted he isn’t worried by his side’s defeat.
“Not a concern when you come to a place like this,” he said.