 Up until the 1950s , the club had a long @-@ running association with the music halls ; their underachievement often provided material for comedians such as George Robey . It culminated in comedian Norman Long 's release of a comic song in 1933 , ironically titled " On the Day That Chelsea Went and Won the Cup " , the lyrics of which describe a series of bizarre and improbable occurrences on the hypothetical day when Chelsea finally won a trophy . In Alfred Hitchcock 's 1935 film The 39 Steps , Mr Memory claims that Chelsea last won the Cup in 63 BC , " in the presence of the Emperor Nero . " Scenes in a 1980 episode of Minder were filmed during a real match at Stamford Bridge between Chelsea and Preston North End with Terry McCann ( played by Dennis Waterman ) standing on the terraces . 
