Former England boss Capello attended tonight'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.
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