Kezman's record and the remarkable events that have shaped his life explain such self-belief - failure and weakness are unthinkable.
From the moment the Serbian moved 220 miles from home aged 16 to pursue his dream of becoming a professional he has possessed a single-mindedness. His strength of character was heightened when he spent the period around his 20th birthday in Belgrade bomb shelters as the city came under attack from NATO. Then last year, as a PSV player, he narrowly avoided being kidnapped in the Netherlands. Little wonder playing for Chelsea does not faze him.
Kezman may have made a low-key opening at Chelsea, with two starts and no goals, but he had anticipated a settling-in period. His wife and children joined him in London only last week and the family has not yet found a home.
Kezman had needed time to adjust after moving to PSV from Partizan Belgrade, but ended with 105 goals in 123 league games, being the Netherlands' top scorer in three of his four seasons. The Premiership presents a tougher challenge, but he will rise to that.
"All the small things that happened in my country and in Holland help you to be strong," he says. "I'm happy I grew up in Serbia because I'm prepared for every situation and I have a very, very strong mentality. I'm the guy who doesn't give up.
"It doesn't matter what's happening, I go on. I always have some point in my head that I want to reach. I would never be here at 25 with all these trophies if I hadn't been so hard."
Kezman's childhood taught him to fend for himself and helped turn him into what he describes as "a warrior".
Real war was to visit him in 1999. His career with Partizan was put on hold, the Yugoslav championship ending early as the bombing began. "The NATO strikes were a disaster," he says. "I was there with my family. Sometimes you needed to go underground and stay there for a few hours or for a day. It wasn't nice, but it was a big experience for us and it makes you stronger. It keeps the people more together, but I hope it never happens again."
He says the conflict had something of an up side as normal life was suspended, allowing him to move back among his friends, play football in the streets and drink and party. "But when you heard the sirens and the bombs . . ." He tails off. His 20th-birthday celebrations were held in a bomb shelter.
"It was a big party," he says. "I closed all the windows and put on very loud music. Nobody could see or hear anything, but the moment I went outside I could hear the bombing. I just continued my party like nothing was happening."
There could be no such pretence when police foiled a plot to kidnap Kezman last October. The man at the centre of the attempt was reportedly a well-known Yugoslav criminal. Kezman needed protection for a while, but continued to score regularly.
"It was serious," he says. "I was a target. Somebody wanted to kidnap me and ask money from the club. It was very close to happening and I was lucky that they found out about it at the last moment. The police did a fantastic job."
At such moments Kezman finds comfort in religion. A member of the Serbian Orthodox Church, he travelled over the border to Dortmund as a PSV player to worship in anonymity. He has found a church in central London.
"It's a big part of my life, especially in the last five years," he says. "I came very deeply to the religion and the church. I find peace there for myself and my family."
Yet, he also thrives on the intensity of sport. Soccer, he says, is in his blood because his father was a first division goalkeeper in the former Yugoslavia. Kezman stresses he needs time to adapt at Chelsea, but is looking forward to an extended run.
"Until now, I think I have shown maybe 10 per cent of my qualities, because I can be much, much better," he says. "All my life is about goals and everywhere I play I score goals. If you see my record for the national team and for all my clubs, I have scored goals so everybody just needs to be patient. I'm sure the day will very shortly come when Chelsea will score four or five goals per game."
That will not be easy today at Middlesbrough. It was to a club such as Boro that Kezman had been expected to move last summer. To avoid sitting on the bench, he had spoke of wanting to spend a few years at a "middle-ranked" team before moving higher.
"First I could choose from a few smaller clubs," he recalls. "I say that with full respect to Charlton and Fulham and some others. I was very close to those clubs and also six months before I was very close to Barcelona. But when Chelsea came to me I was 100 per cent sure I wanted to go there. Maybe you get only one chance in your life to show your quality in a team like Chelsea. I changed my plans."
A "big motivation" is to prove himself in the Champions League, where three goals in 24 PSV games constitute a disappointment. His record in that fiercest of derbies, Partizan against Red Star, suggests he is hardly cowed by pressure.
"That game is like a war," he says. "You die for the result. The stadium is full six or seven hours before the game. I was lucky that I played five times and scored five goals, one in every match.
"That is a fantastic record in Belgrade that nobody had done before. I was a big star at Partizan. I left the club five years ago but still the people sing my name at the stadium every game."
Kezman hopes to leave a similar impression at Chelsea, where he admits silverware is imperative this season. "We need to take some trophies," he says. "If you look at our quality we must do it; I think there can be no complaints about that." And doubtless no worries on his part either.