The 21-year-old left-back was originally supposed spend the season at the DW Stadium but the deal has been cut short.
Dutchman Van Aanholt made just three Premier League appearances for the Latics and played one Carling Cup match, having not featured for Roberto Martinez's side since October 1.
The Holland Under-21 international revealed he had returned to Stamford Bridge on his personal Twitter account.
He said: "Finally arrived back Home want to thank all THE Wigan fans that believed in me."
Chelsea also confirmed the news on their official website.
Van Aanholt has made three starts and five substitute appearances for the Blues since arriving as a youth player from PSV Eindhoven in 2007.
The young defender has previously spent time on loan at Coventry, Newcastle and Leicester.