The 28-year-old is expected to leave Chelsea at the end of the season after seven years at Stamford Bridge, with British media linking him with a move to Real Madrid.
"If it's my last game I will try to do everything for this club to win a trophy," Hazard told BT Sport.
"In my mind I don't know yet, I don't think about that. I'm only thinking about winning something for this club and this squad.
"We played a great game but the semi-final is not so easy. We are happy and we will go to Baku to try to win the trophy."
Hazard's team mates Ruben Loftus-Cheek and Willian hoped the Belgian would stay at the club. Chelsea will not be allowed to sign a replacement if Hazard leaves after FIFA upheld the one-year transfer ban earlier this week.
"I'm sure everyone here, and us players, would love him to stay and be a Chelsea player until he finishes his career," Loftus-Cheek said.
"But who knows what he's thinking. Over the last seven, eight years he's been fantastic -- the trophies he has helped us win. Whatever decision he makes we will respect it."
Willian said: "He's one of the best players in the world. For me I hope he stays, but in football you never know.
"I think his head is here, to play for Chelsea. Then after he's finished the season maybe he can talk about his situation."
With Chelsea playing away at Leicester City on the final day of the league season, the penalty could be Hazard's last kick of a ball at Stamford Bridge but he knows there remains a big job to do in Azerbaijan.
"I always take my responsibility when I have to," said Hazard, who has 19 goals this season.
"Today we are happy but it's not finished. We have another game to play against Arsenal. We need to go there and play with quality and win the game."
(Reporting by Rohith Nair in Bengaluru, editing by Nick Mulvenney/Amlan Chakraborty)
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