The league wasn't that strong. Arsenal were very good, we were rebuilding and Liverpool and Everton were half decent. The rest was pure dross. The league has far stronger depth now than it ever has. Ever since that giant TV deal came in the weaker sides have narrowed the gap dramatically.
That was the period when we seemed to struggle Bolton and Blackburn every year. Nolan/Jussi and Pederson/Friedel really got on my tits back then. Anyone remember David Bentley of all people tearing Vidic and Rio a new one when they beat us a year later? Man, I went way off topic here didn't I. fecking Blackburn.
To properly answer the question anyway, Mourinho is one of the best defensive managers of all time and was in his absolute prime here, Terry and Carvalho were a beastly centre back partnership, and Makelele is the best to ever do it in a position which has since been named after him. Add all those together along with a relatively weak league, and you ain't conceding many goals. What a side they were. They were the best team in Europe that year and were robbed by the officials against Liverpool. That Chelsea team deserved the CL. Chelsea vs. Milan would have been some final.