Conference League favourites won the first leg due to goals from Enzo Fernandez and Reece James.
Reece James and Enzo Fernandez gave Chelsea the lead in the second half, and although the Blues appeared to be at ease, a late header from Gabriel Pereira kept FC Copenhagen in the game.

Chelsea defeated FC Copenhagen 2-1 to secure a first-leg lead in the Conference League's round of 16.
The competition's favourites, Enzo Maresca's team, produced little in the first forty-five minutes, with the visitors managing only two efforts on goal. However, the manager's triple substitution at halftime gave them a boost.
Just 56 seconds into the second half, Reece James opened the scoring with a powerful shot into the bottom corner.
Then, as Viktor Claesson's shot hit the inside of the upright and fell into Robert Sanchez's appreciative arms, Copenhagen smacked the post, threatening an instant response.
But when Enzo Fernandez struck the top corner to put Chelsea in what appeared to be a dominant position, Chelsea's intensity finally overcame the hosts.
However, Chelsea was to blame for not coming out on top. On minute 79, defender Gabriel Pereira found space to head a free-kick past Robert Sanchez with great force, giving the Danish champions hope for the return leg at Stamford Bridge on Thursday.
Maresca: James plays in the middle.
Enzo Maresca, manager of Chelsea:
"We are aware of James's importance to us. He is a great player and our captain. Since we need him fit, that is our responsibility and our goal because he will undoubtedly assist us. Since skilled athletes can play a variety of roles, he is able to do so.
"You can ask Reece about my perception of him as a midfielder when I sent him a video the day after I signed with Chelsea. Reece is a midfielder in my opinion. from the very beginning. While he was on vacation, I emailed him a video that demonstrated his midfield skills. Our top goal is to keep him healthy because he has experience playing as a full-back and centre defence.
Sometimes it's necessary to use your imagination to see a player performing a task while watching them. When he was on loan at Wigan, I saw a few of his games where he scored an incredible goal from 25 or 30 meters out. Right now, Reece's ability to lead the team is his greatest quality.