The England midfielder turned the tables in Chelsea's favour after Colchester took a shock lead through Ricardo Carvalho's own goal.
Colchester could have gone behind after just four minutes when goalkeeper Aiden Davison's mis-kick fell invitingly to Shaun Wright-Phillips.
The former Manchester City winger raced into the penalty area and let fly with a low right-foot shot, but Davison redeemed himself by kicking clear.
Colchester had a couple of efforts on the Chelsea goal soon after, Mark Yeates and Chris Iwelumo's strikes no problem for Carlo Cudicini.
But on 17 minutes they had a fine chance when Richard Garcia was free in the box on the right. He arrowed a driven cross across goal instead of shooting.
A minute later a blistering shot from the same player from 25 yards out sailed over Chelsea's crossbar.
Colchester had a wonderful chance to take the lead on 22 minutes when a deep cross-field ball bisected the home defence and Yeates saw his left-footed drive rebound off Cudicini's left upright and cleared from danger.
Then the shock of all shocks as the U's took the lead on 29 minutes.
Garcia found acres of space on the right and zipped in a ball which Carvalho rammed into his own net past the helpless Cudicini from eight yards.
Chelsea tried to respond immediately but Davison foiled Paulo Ferreira and Didier Drogba twice in a minute.
The League One side's lead lasted just nine minutes.
A Damien Duff corner was flicked on by Didier Drogba and up popped Ferreira to volley home from six yards. It was the Portuguese full-back's first goal in professional football.
Sensing an embarrassing result, Jose Mourinho brought on two big guns at half-time Frank Lampard and Cole replacing the ineffective Maniche and Lassana Diarra.
The first chance of the second half fell to Garcia, but he could only loop his swinging left footer from the edge of the area over the Chelsea crossbar on 55 minutes.
Two minutes later Chelsea missed a sitter. Damien Duff jinked down the left and his chipped byline cross sat up for Drogba , but the Ivory Coast striker glanced his header from six yards wide.
Hernan Crespo entered the fray on 63 minutes to beef up the attack at the expense of Duff.
Straight away the Blues had two good chances, the first a long run and shot by Cole was well saved by Davison for a corner, from which Drogba headed wide.
Crespo's first touch saw a right-foot shot well saved by Davison on 70 minutes.
But nine minutes later the Argentina striker picked the ball up in midfield, ran towards goal and unleashed a fine right-footer which Davison could only parry. The ball fell to Cole who slotted the home.
Right on the full-time, Cole hit his second and a beauty it was too. He picked the ball up in midfield, raced forward and whacked the ball high and wide of Davison into the top corner of the net.