Carlo Ancelotti's side moved four points clear of Manchester United at the top of the Premier League with a 1-0 win over Bolton on Tuesday.
The victory came just three days after the Blues set up an FA Cup final against Portsmouth by beating Aston Villa 3-0 at Wembley.
Although Ancelotti's side will be confident of overcoming Stoke and Wigan in their remaining home fixtures, defeats at Tottenham and Liverpool could put Manchester United back in pole position for the title.
Cole has won two FA Cups and two Premier League titles since joining in 2003, but he has yet to win the two competitions in the same season.
He has warned that all Chelsea's efforts this season will be in vain if they allow complacency to creep in for the remainder of the campaign.
"The title race isn't over," the 28-year-old said.
"The good thing is that we have our future in our own hands now and we have to keep winning and winning and that will only edge us closer and closer. We have had a cracking season and it would be great to finish with a couple of trophies
"We went into four trophies at the start of the season. If we were to come out of it at the end with two then it would be an amazing achievement.
"There's a lot of hard work to be done but we must stay focused and be humble and stay together as a team and work hard for the title."
It is not known whether Cole will still be at Stamford Bridge next season to help Chelsea defend any trophies they may win.
His contract is up for renewal in the summer and despite assurances from Ancelotti and his assistant Ray Wilkins, the England midfielder is no closer to penning a new deal at the club.
The Londoner refused to answer questions on his future today, and would not go further than to say that he was happy to be part of the "special" set-up at Stamford Bridge.
"It's so exciting for a footballer to be blessed to be able to play in such a special team as Chelsea and to have the opportunity to do something so special," said Cole.
"I just want every game to be played tomorrow. I'm just trying to keep on playing as well as I can and help the team and play as many games as I can."
The former West Ham man had to sit on the sidelines with a serious knee injury as he watched Chelsea fail to win the title last year under Guus Hiddink.
Cole's World Cup chances have been affected by his failure to establish himself as a first-team regular under new manager Carlo Ancelotti, but he is still full of praise for the Italian.
"Ancelotti is a cracking manager," said Cole.
"He's shown in the last few weeks what he's all about with his team selections.
"The boys really get on with him. He has brought in a great camaraderie and we have a team spirit developing again.
"Because of that wining the double would be a massive achievement for Chelsea, for everyone at the club."
Cole was speaking at the gym of friend Kevin Mitchell, who is fighting Michael Katsidis for the WBO Interim Lightweight Championship at Upton Park on May 15.