Shakhtar got out to an early start through Alex Teixeira, who scored in the third minute.
The hosts scored their second goal in the 52nd minute thanks to Fernandinho.
Chelsea found their only goal late in the second half when Oscar scored in the 88th minute, but it was too little, too late for the defending European champions.
Here are six things we learned from Tuesday's match in Group E.
Many players on the Shakhtar Donetsk side had a great match, but no one was as great as Fernandinho. The Brazilian midfielder was the standout star from the first whistle.
Not only did Fernandinho play well in the defensive part of the midfield, he was able to come up in the attack quite frequently, as well.
Fernandinho scored the second goal for the home side and clinched the win in the 52nd minute, but he has also had two other shots on target during the match.
If Chelsea were to have a Man of the Match, it would have to be goalkeeper Petr Cech.
On Tuesday night, the Shakhtar Donetsk attack was ruthless as they got 11 shots on target.
Cech came up big in the Chelsea net throughout the match as he gave his club a chance to comeback and equalize.
The Chelsea No. 1 was forced to make save after save on the Shakhtar attack which was led by Henrikh Mkhitaryan.
Shakhtar Donetsk have been in amazing form since the beginning of the Ukrainian season started in July.
Not only are they in first place in the Ukrainian Premier League, but they have a lead of 12 points over second place Dnipro through 12 matches.
Shakhtar have 12 wins from those 12 matches domestically and have two wins and a draw in Champions League play.
Based on their performance from Tuesday, there is no reason to believe that Shakhtar will end this unbeaten run anytime soon.
Frank Lampard saw his day come to an end in the 18th minute after picking up an injury.
With the Chelsea legend aging quickly and the Blues lineup getting younger by the minute, it may be time for Lampard to go in the same direction Didier Drogba went in at the end of last season.
It has made clear from Chelsea's summer business that they are looking to get younger and build a future around stars like Eden Hazard (who replaced Lampard on Tuesday), Oscar and many others.
If Lampard continues to get injured, then it may give Roberto di Matteo and Roman Abramovich no choice but to let the midfielder leave Stamford Bridge.
While they are cruising on top of the EPL at the moment, Chelsea will not have that easy of a time advancing out of Group E to the knockout stage in the Champions League.
Currently, the Blues sit in second place with four points, only one point ahead of Italian champions Juventus.
With three matches remaining in the group stage, the Blues must take the full three points from at least two of their final three matches to secure qualification for the knockout round.
One of those wins is sure to come against Nordsjaelland at home on the final match day.
But the Blues will have to win either at home against Shakhtar in two weeks or in Turin on November 20th against Juventus to be safely through to the final 16.
After their win on Tuesday, Shakhtar jumped up to first place in the Group E table with seven points.
The remaining fixtures in the group favor the Ukrainian champions immensely.
The trip to Stamford Bridge in two weeks will be the toughest test left for the group leaders, but they proved on Tuesday that they are not scared of the defending European champions.
The final two matches are very winnable for the club as they will visit Denmark to play minnows Nordsjaelland and then host Juventus on the final match day.
As they have proven already, the Donbass Arena is a home fortress for Donetsk and they almost beat the Italians in Turin on match day two.
It will take something catastrophic for Shakhtar Donetsk to not advance to the knockout stage, but even the unexpected can happen in the Champions League.