The Blues failed to find the back of the net in the first leg of the semi-final tie, despite creating several good opportunities against an under-strength Gunners side, who also battled to a goalless draw in the league meeting in September.
The Premier League champions were again left to feel as though they let Arsenal off the hook when the two teams met at the Emirates Stadium last week, Alvaro Morata proving to be wasteful on that occasion as the two teams played out a 2-2 draw.
Wednesday's stalemate was only the third time during Conte's reign that Chelsea have failed to score at Stamford Bridge but the Italian would still like to see an improved return on his team's efforts in front of goal.
"You must be worried if you don’t create and it is difficult not to score," said Conte. "Every game we create chances, this season we might be a bit unlucky, but haven’t taken the chances.
"The speech is not for the strikers, Christensen had two fantastic chances to score. It is not just the strikers, you have to take chances. The semi-final it is important to take your chances."
Despite failing to capitalise on home advantage ahead of the second leg at the Emirates Stadium on January 24, Conte does not feel as though the advantage in the tie now lies with Arsenal.
He added: "We have the same possibilities to go through to the final. Not to concede could be very important for the second leg. To play at the Emirates is not easy or simple. We deserved to be in the semi-final and be very happy to do this."