The main issue with Chelsea is their defense, the gaps are just numerous, and they lack much coordination therein. Most of them are slow and would definitely not be a match to the ever fast and swift PSG attackers. Chelsea's attack has received a good boost of J. Pedro and Delap so I presume they would keep the PSG defense busy in the match. Chelsea can only survive in that match if their defensive midfield is very fast to fall back as soon as they are beaten upfront because the defenders alone cannot bear the pressure of the PSG attackers.
IMO, the only place PSG would punish Chelsea is by outsmarting their defenders, they did it a lot to Real Madrid and they would be prepared to even do more to Chelsea. Maybe after this match, Chelsea would see the need to boost their defense. Ever since T. Silva left, Chelsea is yet to find a good replacement. I was thinking they would sign a good center back in the transfer window, but they didn't.
PSG remains the favorite in the final because they not only have an impressive performance, but they also have a very good mentality at the moment. Luis Enrique is a really good coach. He made a huge change, and he not only made PSG a team with a winning mentality, but also made PSG no longer wasteful like before.
In football, anything can happen and that's why Chelsea still has a chance, but if PSG play like before, but if PSG plays like before then it's very likely that Chelsea will lose in the final. Chelsea's back line will be overwhelmed, and it seems like it's only a matter of time before they concede.