“There’s still some work to do, not just in the final. There are still two league games to go, so let’s rest a bit and prepare ourselves,” said the Brazilian centre-back.
“If I say I’m not thinking about winning the Double, I am a liar! Of course we think about this.
“But we need to think day by day, rest well, keep ourselves very good in these next two games to have a top performance against Arsenal.
“It will be a difficult game against a fantastic team, so we need to be at a high level.”
Watford, 15th, are not yet mathematically safe from relegation, although it will take a minor miracle for them to be caught by third-bottom Hull City.
Following Friday’s 1-0 defeat at Everton, Walter Mazzarri’s side have lost their last six away games without scoring.
Stefano Okaka knows his side will be up against it at a partying Stamford Bridge, but he is hopeful his side can exploit any groggy heads in the Chelsea ranks.
“Football is like this. Sometimes you score a lot, sometimes you don’t,” said the Italian striker.
“In these six games we created some chances. Sometimes we play well, but concede a goal and then it’s difficult to get back in the game.
“I hope we can do something good in the next game. It’ll be a difficult game against Chelsea. I’m not a stupid guy.
“I can’t say we’re going to go to Chelsea and win 3-0 or 4-0. But we will go there and fight.”
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