Cole, who missed England's recent World Cup qualifiers and Saturday's 4-1 defeat of Cardiff with a rib injury, trained with the squad on Monday morning, but was not on the flight to Dusseldorf.
"Jose Mourinho believes tomorrow's game has come just too soon for the left-back and he has remained in the UK," a story on chelseafc.com read.
Forward Andre Schurrle (leg) did travel as part of a 21-man group.
Mourinho has no fresh injury concerns and Cole's absence suggests the Blues boss has one eye on Sunday's Barclays Premier League match with Manchester City.
Schalke lead Group E on six points and Chelsea have three ahead of the fixture at the Veltins Arena in Gelsenkirchen.
It will be Chelsea's first match in Germany since lifting the 2012 European Cup.