The 25-year-old Brazilian has been granted a work permit to play for the Stamford Bridge club.
Willian told the club's official website: "I'm very happy to be here, it's been a dream of mine to come and play here.
"Chelsea are one of the best clubs in the world, and now I'm going to play for one of the best managers in the world, so I'm very happy and looking forward to it."
Willian spent six years at Shakhtar Donetsk - and played against Chelsea for them in last season's Champions League - before moving to Anzhi in January.
He had been heavily linked with a move to Tottenham before Chelsea stepped in last week.
He will wear the number 22 shirt for the Blues.