Former England boss Capello attended Saturday night's Champions League final between Chelsea and Bayern Munich, where he was seen having a pitchside conversation with suspended Blues captain John Terry.
The Italian has been linked with the job at Stamford Bridge, which Roberto Di Matteo has held on an interim basis since Andre Villas-Boas was sacked in early March.
However Capello told Italian TV station Sky Sport24: "There has been no contact between me and Chelsea."
Capello, 65, has won league titles with AC Milan, Real Madrid, Roma and Juventus, and led England from the start of 2008 until February of this year, when he resigned after the Football Association removed the captaincy from Terry.
One of the top soccer cleats for control the Nike CTR360 will not let you down on the field in tight spaces.
The Liverpool 2013/14 soccer jersey is available for pre-order. The Reds are eager to compete for silver next season.
Ajax has released their away soccer jersey for the 2013/14 season. Get in the Gear.
Chelsea won the Europa League on Wednesday. The Blues defeated Benfica 2-1 on injury time goal from Ivanovic.
The Juventus jersey for the 2013/14 was released earlier this week. Be the first to wear the colors of the Old Lady.
Borussia Dortmund hears Wembley Calling and are headed to London for the Champions League final.
The new PUMA evoSPEED 1.2 FG. A great new soccer cleat with classic look and first time for PUMA to be on the cleat.
The adidas Nitrocharge is the most talked about new cleat in years. It was released on May 15 and will take your pitch by storm.
The push for more color on their cleats, adidas has added the infrared colorway to the adiZero f50 Line.
adidas has added some color to the Predator line with this new colorway. Released on May 17. Be the first to own a pair.