The Toffees shook off the fatigue from Sunday's semi-final clash with Manchester United to take a point at Stamford Bridge for the third year in succession.
The goalless draw effectively ended Chelsea's interest in the title race and Everton could have claimed all three points had Jo, Tim Cahill or Steven Pienaar taken their chances.
Manager David Moyes made four changes from the side that beat Manchester United on penalties but they still managed to cope with Chelsea's attack.
That has given Baines hope that Everton can lift the cup at Wembley, especially if the defence continues to be as mean between now and the final at the end of May.
"We were a bit shaky early on in the season but since then we've been fantastic at the back," said Baines.
"Hopefully that bodes well for the game next month. I don't think it says anything about what is going to happen in the final.
"That's a completely different game and occasion but it certainly gives us confidence.
"We played well, kept a clean sheet against them for the second time this season and created chances so hopefully we can get another good result in the next game against them."
But prior to their cup final showdown, Everton are desperate to ensure they finish in fifth place in the league.
Everton face Manchester City at Goodison Park on Saturday and Baines is a little disappointed that the Toffees are not going into the game with a win over Chelsea under their belts.
"It was a terrific effort from all the boys, considering what we had been through at the weekend when extra time and penalties were so draining," said the 24-year-old.
"With that in mind, it was a magnificent effort. We thought we might as well have a go, we created a few chances and perhaps we caught them by surprise. We deserve credit.
"We all felt a bit stiff and sore after playing United but once we got out there, I thought we acquitted ourselves really well. Everyone worked hard.
"There were a couple of moments when we thought we had good chances but it wasn't to be and we'll happily take the point. On another day, those chances would have gone in."