The Italian Serie A leaders won 3-0 - 7-0 on aggregate - with a bold display of skilful football, inspired by the Spaniard Ivan de la Pena.
De la Pena hit the third goal after the Czech midfielder Pavel Nedved and Yugoslavia's Dejan Stankovic had put Lazio 2-0 up on the night against the Athens club, who are coached by the former Liverpool and Republic of Ireland midfielder Ronnie Whelan.
Chelsea will be hoping to avoid Lazio in the semi-final draw - their coach Sven Goran Eriksson has the Chilean striker Marcelo Salas, plus the Italian internationals Christian Vieri and Roberto Mancini, ready to return.
Eriksson said: "Lazio against Chelsea would be a tight game, certainly, but all the semi-finalists are tough."
Igor Chugainov's penalty completed a 4-0 aggregate victory over Israel's Maccabi Haifa as Lokomotiv Moscow steamed into the semi-finals. The Russians had already as good as booked their passage in the home leg a fortnight ago, when Zaza Dzhanashia notched a classy hat-trick in a 3-0 canter.
Lokomotiv's only goal of the second leg, a 72nd minute spot kick by Chugainov, came after the substitute Yevgeny Kharlachev was tripped in the penalty box by Alon Harazi.
The Spanish side, Real Mallorca, secured their place in the last-four courtesy of a 3-1 home win over Varteks Varazdin of Croatia. The first leg had ended 0-0 but in the return game Ariel Ibagaza, Velkjo Paunovic and Dani Garcia - who has been linked with Arsenal - grabbed second-half goals.
Andrija Balajic headed a consolation goal two minutes from time for the Croatians.Reuse content