With only 17 non-homegrown players allowed by UEFA regulations, the 18-year-old striker, who cost a reported £20million from Anderlecht, will not be able to feature in the group stages.
Given only four of the eight homegrown players can be "association trained", England under-21 international left-back Ryan Bertrand is another not included.
However, promising young midfielder Josh McEachran will be available as the 18-year-old is set to be part of Chelsea's 'B' list.
Chelsea's other summer signings Oriol Romeu, Juan Mata and Raul Meireles are all in the 22-man group.
Regulations for the domestic Barclays Premier League are different, and would see Lukaku counted as one of Chelsea's under-21 players, so not part of the 25-man quota.