Gabriel Jesus and Noni Madueke scored Arsenal’s goals in the encounter, while Jean-Philippe Meteta netted Palace’s consolation.
Leeds will now travel to Wembley Stadium to face Southampton, who secured a 2-1 victory against Arsenal on Saturday.
In the 70th minute, Cucurella equalised for Chelsea when he lunged to nod home a loose ball inside the West Ham 18-yard box.
West Ham currently sit in 19th place on the Premier League table.
Many Sheffield Wednesday fans boycotted the match in protest at the club’s Thai ownership, and they watched from afar as their side advanced in dramatic fashion.
The final blow came late in the game when Trevoh Chalobah headed in a goal from a corner inside the six-yard box.
Arsenal moved second on the league standings after the Gunners secured a dominant 5-2 away win against West Ham United in their Premier League tie at the London Stadium on Saturday
The Norwegian striker secured his second consecutive hat-trick, extending City’s unbeaten record against the Hammers to 18 matches.
Arsenal took the lead 15 minutes into the match, courtesy of Pierre-Emile Højbjerg’s own goal.
A few minutes before halftime, Saka, from the penalty spot, doubled Arsenal’s lead before scoring his second in the game.
