The Belgian striker, who scored 17 Premier League goals on loan at West Brom last season, is likely to be vying with Fernando Torres, Demba Ba and Andre Schurrle for a place in the Blues' forward line.
The battle for places could increase if Chelsea's interest in Manchester United striker Wayne Rooney comes to fruition, but Lukaku is comfortable with the situation at Stamford Bridge.
"It's not easy at Chelsea, it's not easy at all," Lukaku told the Sunday Mirror.
"You have to show yourself every day because you know how big the competition is and, if you don't do well, there is always a player that can take your place.
"Of course, I think I can get into the first team at Chelsea. But there is still room for improvement."
His form last term, and the jostling for position in a large Chelsea squad, has led to speculation that another loan move could be in the offing.
However, the 20-year-old sees his immediate future with the west London club.
"I'm a Chelsea player and happy to be here," added Lukaku. "It's up to me. If I do well, I will play. I have always felt like a Chelsea player, even at West Brom."