"It's got to be a bit of a game but that is the one that we could have done without. We could have done with that maybe in the final," Law told Reuters.
The 71-year-old Scot, who scored 171 goals during his 11 years at United from 1962-1973, said Chelsea were even more of a threat because they have slipped 11 points behind United in the Premier League title race.
"Of course you've got to be worried," Law said. "When you get to that stage in that particular competition, it is always going to be hard anyway."
While Chelsea are chasing their first European Cup, United have won the competition three times and Law said that experience would be vital.
"The fact that United have been in that stage so many times through the years makes them strong favourites but maybe I am a bit biased," he joked.
Chelsea striker Fernando Torres is still awaiting his first goal since his record 50 million-pound move from Liverpool.
"Well it is strange isn't it and he is such a good player," Law said. "He has been so good for Spain and Liverpool. I just don't understand why he is going through this drought. It is a mystery."
Law said United were very well placed to win a record 19th English league title.
"I think United probably have got the upper hand," he said. "Chelsea have had that little part of the season when things were not going too well.
"But United are doing quite well and it looks as though they're going to win it."
The first leg of the quarter-final is at Stamford Bridge on Wednesday with the return at Old Trafford next Tuesday.
