Thomas Tuchel’s side are sitting at the top of the Premier League table and have 13 points on the board after the first five league games.
Chelsea have also been defensively secure this season and have conceded just one goal in the Premier League thus far.
But Nicholas stressed that he is still not sure about Chelsea’s defence and believes that they can be vulnerable in that area of the pitch.
The former Arsenal striker insisted that there is a sense of insecurity in the Chelsea defence, which makes them play a back three.
However, he does concede that Chelsea have been the most impressive team in the Premier League this season.
Nicholas said on the Where’s Jeff podcast: “I really like the look of the balance of what they have got.
“But I still think they are a touch vulnerable at the back, I do.
“I think that’s why they play a back three because there is a certain amount of insecurity in that back three.
“And they like the wing-backs pushed up.
“But they have been the team that has impressed me the most this season.”
Chelsea’s defence will come under pressure this Saturday when they will host reigning champions Manchester City at Stamford Bridge.