While some of their Big 6 rivals - that's you Spurs and Liverpool - never quite get it done in Cups, Chelsea still manage to hoist silverware on a regular basis.
They've won this tournament five times in the last 12 years, beating Manchester United in the 2018 final when many thought it wouldn't be their turn.
They also beat Spurs in the final of the 2015 League Cup final and, a couple of days ago, edged out their London rivals again in that competition - this time at the semi-final stage - after overcoming a 1-0 first-leg deficit.
Add to that a Champions League (2012) and Europa League triumph (2013).
With the Premier League gone, Maurizio Sarri and his men will again put plenty of focus on the Cups once more and they go into this one on a high again after recent poor results.
Owls in limbo
Caretaker coaches Lee Bullen and Steve Agnew have done a decent job since stepping in for Jos Luhukay, who was packed off last month.
The Owls have lost just one of their last six in the Championship but sit in 16th place and, worryingly, only basement boys Ipswich have conceded more away goals.
They've been tighter in recent weeks but this is a big step up and Wednesday could be running into Chelsea at the wrong time.
Until Steve Bruce returns from his cricket break in the West Indies and takes charge, the Owls remain vulnerable and this could be an uncomfortable afternoon if the hosts are on it.
Chelsea rarely slip
While many recall Bradford's famous 4-2 win at Stamford Bridge, that is a very, very rare exception.
Chelsea have progressed from 47 of their last 49 FA Cup ties against non-Premier League sides and are just 1.24 to get it done in 90 minutes.
Sheffield Wednesday are 14.00 to cause a big shock while it's 7.40 for The Draw.
I'm not entertaining anything but a Chelsea win here.
Quite simply, it seems the penny has dropped with Sarri. Playing Eden Hazard as a false nine was bizarre move given the sensational form his playmaker had shown earlier in the campaign.
With Hazard restored to his normal position and Olivier Giroud restored to centre-forward, Chelsea clicked again and deservedly saw off Tottenham even though their semis went to penalties.
Set free again, Hazard sparkled and popped up to notch Chelsea's second in their 2-1 win in 90 minutes.
With Gonzalo Higuain secured on loan for the rest of the season, the path is even clearer for Hazard to do what he does best from the wing and Chelsea will surely feel the benefit.
The Belgian didn't play in the 2-0 win over Nottingham Forest in the last round but, regardless, this is a happier Chelsea camp again and whether Hazard starts or comes off the bench I think the Blues can win this with something in hand.
Go for big Blues win
With the buzz back, I think 3-0 is a decent starting point and that's worth a bet at 7.20.
A 2-0 is 6.40 but there seems scope for Chelsea to net four and win and that's covered in Any Other Home Win at 2.30 so I'll add that in.
If Wednesday bag a goal, Chelsea can score four and the bet still lands.
Same Game Multi
Wait for team news before pulling the trigger here but there are a couple of obvious options.
It's a fraction under evens (1.98) for Hazard to score in a Chelsea win while we get odds-against (2.18) for Giroud to net in a home victory.
The Frenchman has struggled for goals but this is his tournament.
In his last four FA Cup appearances against sides from outside the top-flight, he's scored in each, racking up five goals.
If Hazard and Giroud both play, both are good options.
Sheffield Wednesday have been eliminated from eight of their 10 FA Cup ties with Chelsea, last knocking them out in the 1965-66 semi-final.