Jack Whitley was The Blues' goalkeeper during their first season in the top flight, playing for Chelsea between 1907 and 1914.
Before he died, he asked to be buried in Brompton Cemetery even though he no longer lived in London.
Chelsea Supporters' Trust is now crowdfunding to pay for a gravestone.
It is believed that Whitley's widow could not afford a marked grave.
Chelsea's official historian Rick Glanvill said to have a headstone for Whitley would "mean a huge amount".
"I'd been exploring connections between the club and the cemetery, as it's unique to have one next to a football ground.
"The club's first owner and first director are buried there but what was missing was a player, so the significance of finding Whitley was huge."
Mr Glanvill said he found out about Whitley when a neighbour - a keen Manchester United fan - bought him Albert Sewell's book Chelsea Champions! at a flea market for 50p.
With the help of Friends of Brompton Cemetery, he discovered where the grave was and although it was unmarked, the goalkeeper was the only person buried there and so the plot can be acquired and a headstone erected.
The supporters want to raise Â£5,500 from fans and have not asked the club for money.
"He'd served the club for 32 years as a trainer and player. As he specifically asked to be buried near the club, we feel that loyalty should be supported and we should return the loyalty," said Mr Glanvill.
He wants to track down a descendant of Whitley to invite to a special ceremony on the 110th anniversary of the goalkeeper's debut for Chelsea, 23 September.
A Chelsea footballer who is buried in a cemetery next to the Premier League club's Stamford Bridge stadium does not have a marked grave, it has emerged.