Whilst at Chelsea, Stein set a Premier League record by scoring in seven consecutive matches from December 1993 to February 1994. The record stood until 2002, when Ruud van Nistelrooy surpassed it. Stein also played in the 1994 FA Cup Final and, in total, he scored 25 goals in 63 games for the West London club, but by the 1996–97 season had lost his place in the first team due to the arrival of new strikers Mark Hughes, Gianluca Vialli and Gianfranco Zola. He returned to Stoke on a short-term loan, scoring four goals in 11 games in 1996–97, the club's final season at the Victoria Ground. He finally left Chelsea in the summer of 1998 when he signed for AFC Bournemouth after a loan spell.