A Magdalena Ericsson own goal and a strike from midfielder Amandine Henry in the first half put the defending champions 2-0 ahead before Erin Cuthbert pulled one back for the visitors after the break.
Bayern Munich take on Barcelona in the other semi-final first leg on Sunday.
At Lyon's Groupama Stadium, Delphine Cascarino's shot was deflected in off Chelsea defender Ericsson in the 27th minute to give the hosts the lead.
Henry headed the ball into the far post from a corner to make it 2-0 after 38 minutes.
It was a perfect start for the hosts, but Chelsea were awarded a penalty on the stroke of halftime after Ramona Bachmann was brought down, only for goalkeeper Sarah Bouhaddi to save Fran Kirby's spot kick.
The Blues were still in the mix, however, and Cuthbert volleyed home an away goal in the 72nd minute which Chelsea hope will prove decisive in the second leg next Sunday in London.