Antonio Conte says Lincoln's progress provided a last-minute reminder of the potential pitfalls of the FA Cup, which Chelsea avoided by winning 2-0 at Wolves.
The Blues joined non-League Lincoln in the FA Cup quarter-final draw as Pedro and Diego Costa scored second-half goals to eliminate a Wolves team which had beaten Stoke and Liverpool.
Chelsea, Premier League leaders by eight points after drawing at Burnley last weekend, are still on for a possible league and cup double.
That is a target for Conte, who says nothing can be taken for granted after the Imps' win at Burnley saw a non-League side advance to the last eight for the first time in 103 years.
"This challenge was very tough, but we all knew (that)," Conte said.
"Above all after the result this afternoon (at Turf Moor). I tried to warn the changing room about the difficulty of this game, of this competition.
"It's important to understand nothing is easy. If someone thinks in the league Chelsea for sure become the champions and in the FA Cup for sure you can win this trophy. it'll be very difficult.
"But we know that we stay there and we want to try to arrive at the end, to try to win some trophies."
Chelsea academy graduate George Saville hit the post after five minutes for Wolves.
And an hour later the hosts' resilience was punctured when a clinical counter-attack concluded with Pedro heading in at the back post.
Diego Costa was outplayed by namesake Helder Costa for much of a contest in which Eden Hazard was a peripheral figure.
But both had a role in Pedro's goal and Diego Costa struck his 16th of the season late on. It was a reward for his tireless running.
Conte added: "We were very good to suffer in the first half.
"Wolverhampton started the game very well with great intensity.
"They hit the post after five minutes and we were lucky. In the second half we played our football, we played very well.
"We scored two goals. Wolverhampton deserve my compliments for the performance."
Lincoln were complimented, too, with a bow from Conte.
"This is a great achievement for them and also this is the beauty of football and the FA Cup," he said.
"I'm pleased to live this story with them. Now we are with Lincoln in the quarter-final. It's fantastic."
Conte was a Juventus player when they were beaten by a Borussia Dortmund side featuring Paul Lambert in the 1997 Champions League final. Conte was absent that day.
Lambert, now Wolves boss, said: "I'll take one each."
The Scot praised Conte and expects Chelsea to claim the double.
Lambert added: "They've got a fantastic manager. He's relentless. He's a good man.
"They're firing on all cylinders at the moment. I know the league's not over. Manchester City will have a big say in it.
"It's going to be one hell of a team to stop them from taking both trophies."
Lambert rued Saville's miss and hopes the performance can help Wolves climb up the Championship table.
They are five points clear of the relegation zone and next play local rivals Birmingham.
Lambert added: "Unlucky? I don't know if we were unlucky. For an hour, 65 minutes, we were fantastic.
"We probably needed George's goal to go in to give use something to hang on to.
"I played with world class players, I played against world class players and Chelsea have got that. I'm proud of my own team. We were fantastic.
"I couldn't ask for any more. We were well in the game for 65 minutes or so.
"Every one of them should leave here with their head held high."