These have been difficult days, not much given to jokes, but for a moment a smile creeps across César Azpilicueta’s face and he starts laughing. “Maybe on penalties,” he says.

Conversation has drifted away from defeats and doubts, briefly slipping into something a little more comfortable, into what it is that makes the man they still call Dave so appreciated, the player they would clone if they could. Yet Chelsea’s worst league start in three decades never goes away entirely, even here – and even though he is convinced it will soon.

The Pamplona-born defender has just been reminded of the time José Mourinho claimed that a team of Azpilicuetas would win the Champions League and the question is inevitable: would it? The punchline – “Maybe on penalties” – is delivered swiftly, bashfully. “It wouldn’t score many goals,” he says.

The obvious response is to remind him that he scored barely a month ago and it was a winner, too. But while he grins and says: “Getting better,” there it is again: a reminder of what has gone wrong as much as what has gone right.

Goals are not really what Azpilicueta does – his career total is five in 340 games, two in 137 for Chelsea – and they are not really what he aspires to either.

When he scored the winner in the 3-2 victory against West Brom at The Hawthorns, it was reason to celebrate but Chelsea’s first victory, three games into the season, was also cause for concern. Not least for Azpilicueta himself.

“I’m a defender and my first job is to make the team secure at the back; that’s my primary responsibility,” he says. “I get huge satisfaction if we win and don’t concede. That makes me happy; it means we’ve done our job properly. I feel better when we haven’t let in any goals.”

That day, Chelsea let in two. The game before, against Manchester City, it was three and the games after brought five more – two against Crystal Palace and three at Everton. Twelve already.

No one has conceded as many in the Premier League and Chelsea have already let in more than a third as many as in the whole of last season. They began the season with defeat in the Community Shield against Arsenal, the first time Mourinho had lost to Arsène Wenger, and have only one league win, secured by Azpilicueta. They are 17th. It was not supposed to be this way.

Gary Cahill: Chelsea ready for Arsenal after Champions League morale boost Read more

There have been suggestions that Chelsea’s pre-season preparation, which began later than normal, was not ideal, plus doubts, too, about their recruitment. They have looked slower and less fit, lacking intensity and seemingly lacking confidence. Azpilicueta may well be the only outfield player whose level has not significantly dropped. If the question is why, Azpilicueta does not have an answer. What he does have, he says, is the conviction that they will put this right.

“People are passionate, they see things [in dramatic terms],” he says. “We understand that. We want to change things as quickly as possible and it is true that we haven’t had the start everyone expected; we’re as surprised as anyone. But we’re convinced that with the work we’re doing we’ll turn things around. We all know we need to improve, to get back to last season’s Chelsea and there’s belief that we can do that.”

Victory against Maccabi Tel Aviv was a start, making Chelsea the only English team to secure a Champions League victory in midweek and afterwards Mourinho said: “I’d forgotten that [winning] feeling. I can imagine what it would have been like going into training the next day if we had lost.” Now Chelsea must beat Arsenal; their worst start in 29 years has left them trailing City by 11 points and 16 places. So, is retaining the league title still a realistic objective?

“The objective is to produce a better performance on Saturday and win,” Azpilicueta replies. “We have to concentrate on ourselves and pick up as many points as possible. We know we have less margin for error but we also know that in the Premier League every team’s dangerous. There are surprises every week, we know that our rivals can drop points.

“Often in Spain you’re winning 2-0, there are 15 minutes left, and it’s as good as over. You control it and the tempo drops. In England, that doesn’t happen. They put another striker on, long balls into the area, free-kicks, corners. They push you back. And if they make it 2-1 in the 90, you still have added time and the ball just keeps coming. It’s a different mentality. Right until the last kick they give everything.”

There is a fondness in the way that Azpilicueta talks about England. He arrived in 2012 and found his place, even if to start with he found himself hitting the curb when he took the car out. Things have improved; they can say his surname now – a video he recorded explaining it helped – and mostly they call him César, although he says that Dave has stuck a bit too. On the pitch, he could hardly have taken to it more, nor the fans to him.

It was February 2014 when Mourinho said that a team of Azpilicuetas would win the Champions League. “It’s not just talent that counts but character and personality,” the Chelsea manager explained. “He’s the kind of player I like.” The kind of player that fans like too, probably more so in England than in Spain. His reliability is a quality more highly prized in the Premier League.

“I certainly feel appreciated at Chelsea,” Azpilicueta says. “People maybe [had an idea] of the supposedly ‘typical’ Spanish player ... the full-back that will get forward but not know how to defend. But in any country you have many different types of players and that has always been the way I play; at Osasuna and Marseille. Some didn’t know much about me and I had to show that they could trust me.”

If assumptions were there to be challenged, it is not as if Spaniards have been unwelcome. By the time Azpilicueta arrived, he followed a well-trodden path. He was one of four Spaniards at Chelsea then and, although the other three have gone, he still is. “The ‘mafia’,” Azpilicueta says, smiling. “It was Oriol Romeu, Juan [Mata] and Fernando [Torres], then. I outlasted them all and hopefully I can stay here for a very long time. And now, with Pedro coming, plus Diego and Cesc, there are four of us again.”

There are 31 Spaniards in England’s top division and have been more than 100 in the Premier League era, beginning with Nayim in 1992 and Albert Ferrer six years later, the process accelerating. Outside the home nations, only Holland has provided more. Good players, too. A team of Azpilicuetas might not win the Champions League but a team of Premier League-playing Spaniards might.

Azpilicueta works his way through a potential Spanish Premier League XI. He has been crowbarred in at centre-back – “I don’t mind; wherever I can fit in,” he says of a role in which he can be employed – and he pencils in his former Osasuna team-mate Nacho Monreal at left-back. David de Gea is the goalkeeper and in front of the defence the list seems endless: Fàbregas, Mata, Cazorla, Silva, Costa, Pedro, Navas ...

“Not a bad team,” Azpilicueta smiles. “But it’s the mix of nationalities, of different types of players with different mentalities, that’s key. The Premier League benefits from foreigners and the game’s evolved in a way that’s beneficial, but you can’t lose the roots of the English game. It’s been handled well; it’s to be applauded. I love the English league. I wouldn’t change any of that.”

Nor, it seems would most Englishmen. Spaniards come but Britons do not go; only Gareth Bale plays in Spain’s top two divisions. The transfer of talent is one-way. Asked if there is an economic explanation, Azpilicueta does not hesitate: “Yes. You can see it with players from Spain’s first division coming to play in the Championship. They’ll earn more there. Look at TV rights: English clubs are more financially powerful.

“But,” Azpilicueta insists, “it’s not just that.” The level of the league matters and the style that Spaniards have found suits them once they get used to the pace. The process Pedro is going through is a familiar one, a recurring theme in conversations with Spaniards in the Premier League.

Azpilicueta explains: “It’s true that the pressure is intense and it’s played at a very high tempo, that it never stops, but it’s also true that you can find space. A lot of teams press but then when you get past that, it opens up. You then have to make the most of that and finish off the moves, mind you, because if you don’t the ball comes right back at you. Pedro will like that. He’s still getting used to it but he is going to be a great player.

“During the transfer window you hear so many stories and there are so many games played in negotiations that you don’t know if it’s true until it has actually happened. You hear about players leaving three years in a row and they never move; there are rumours and sometimes there’s no substance at all or something changes, something unexpected happens. Pedro’s an example. It never came out about Chelsea but then we signed him. When we heard, we were tremendously happy.”

Pedro came but Petr Cech went. On Saturday Cech will be on the other side. “I was lucky to have him as a team-mate but he made us suffer in the final of the Community Shield: we know what a great keeper he is,” Azpilicueta says. “Santi [Cazorla] and Nacho Monreal, too; of the Spaniards at other clubs Nacho’s the one I’m closest to because of Osasuna. The thing is, we hardly have time to see each other.

“I’ll shake hands with Santi and Nacho before the game, say hello, but then everyone fights their corner. From the moment I came to the club, I could feel that this was a special game, a big derby. You can sense its importance for fans. And for us it’s vital.

“We’ve had a bad start and we have a tough job ahead to turn things around but it’s in our hands. None of us are happy with the situation but we know we can put it right.”