The Blues initially drew the French champions before UEFA declared the draw 'void' after a 'technical problem'.
"Chelsea will be very, very happy with that but I'd put a word of caution on that because Lille are a very exciting, strong, aggressive team," Cole told BT Sport.
"They have nothing to lose. Chelsea are the champions and are the hunted.
"When Lille play, it can be one hell of an atmosphere. It's going to be a tough one.
"They're probably breathing a sigh of relief to avoid Bayern Munich and Real Madrid and I get that, but you can't discount this Lille team.
"Lots of good, young players who will be fearless so Chelsea must be wary of an upset."
Need a VPN? Or seeking to switch? Then support Tribal Football by clicking here to sign up with our official partners NordVPN. Not only will you receive the best VPN experience, but also great discounts by signing up via Tribal Football. Thanks for your support!