Now Guus Hiddink's side will be the visitors on March 7 and Coleman insists his side will make it difficult for the Premier League outfit.
The former Fulham boss said: "I can't say that we weren't thinking about Chelsea before this game because what an opportunity that will be for the players in front of a full house.
"That's the sort of thing you've got to aim for and the Cup has been important to us this season. A quarter-final at home to Chelsea is brilliant.
"Of course they will be the fancied team and it will be difficult but it is not an impossible task. Because they will be fancied does not mean they are unbeatable.
"It will be great for the fans who are desperate for success. Coventry have not been in the top flight for seven or eight years and have had a lot of financial problems off the pitch.
"The people in the city are hungry and desperate for the football team to do well."
Coleman believed his side deserved the victory against Rovers, who made 11 changes from the line-up against Manchester United at the weekend.
He said: "We had a really good tempo and carried on from where we left off against Birmingham on Saturday. Our fans were top drawer and spurred the players on.
"It was probably the best night and best game since I came here and we could have added a couple of more goals on top of things."
Coleman had sympathy for his Blackburn counterpart Sam Allardyce whose main priority will be to keep the north west club in the top flight.
He said: "Sam has got a monster game against Hull this weekend. They played ever so well at Manchester United and should have got at least a point.
"This cup tie is one he could have done without because of Blackburn's position in the Premier League and it's all about staying up."
Allardyce was critical of his side's defending when Best scored midway through the second period and of the way his side faded in the second 45 minutes.
He said: "I would love to have gone to Wembley. I've only been there once with Bolton when we lost on penalties to Aston Villa but the reality is that the Premier League overshadows everything.
"I made 11 changes and you give people the stage to show what they can do and can they play better than they talk. That was the case in the first half but in the second half we talked a lot better than we played.
"We controlled the tempo in the first half and had good opportunities but our problem is a game lasts 90 not 45 minutes.
"I warned them at half-time about not letting our output drop and keeping the pressure on Coventry but that did not happen.
"We afforded them space to run at us and we gave away an easy goal. I don't know what we were doing defensively. It was bizarre. You can't afford to make that sort of mistake.
"We then threw caution to the wind but didn't get our passing and movement going like in the first half."