Benitez has become an increasingly isolated figure at Stamford Bridge following last week's criticism of supporters who have opposed his appointment and club bosses for giving him an 'interim manager' title.
The Spaniard has already confirmed he will leave at the end of the season but that has not dampened speculation he could be replaced before then.
Capello has been linked with a short-term deal with the west Londoners but the former England boss is adamant he has not been contacted by Blues owner Roman Abramovich.
He told Radio Anch'io Sport: "No offer has arrived from Abramovich, none of it is true. I'm happy in Russia."
Capello - who has had stints in charge of Real Madrid, AC Milan, Juventus and Roma - resigned the England post in February and accepted the Russia job following Euro 2012.
He has led his new team to four wins from four games in qualification for the 2014 World Cup in Brazil.
Benitez, meanwhile, has pledged his complete focus on Thursday's Europa League clash at Steaua Bucharest despite the distraction of next weekend's FA Cup quarter-final at Manchester United.
"One game at a time," he said following Chelsea's 1-0 Barclays Premier League defeat of West Brom on Saturday.
"We have to go to Bucharest before we can concentrate on (the United) game.
"Both games are important, but one is just one game and one is two legs."
The Old Trafford fixture, against Benitez's old foe Sir Alex Ferguson, takes place between the Europa League last 16 legs with Steaua.
The proximity of the matches means Benitez has a selection dilemma, with a Champions League spot in the Premier League the overriding priority, but silverware desirable too.
It will be intriguing to see if - and where - Benitez deploys captain John Terry.
The Blues skipper, who is still managing his return from a knee injury, was again an unused substitute against the Baggies, having played at Middlesbrough last Wednesday.
Gary Cahill was also on the bench after missing the Middlesbrough match with a virus, with Branislav Ivanovic and David Luiz in central defence.
"We have to manage the squad," Benitez said. "You need fresh legs. We have to decide, that's it.
"We have to manage (Terry's) fitness and be careful.
"He's training. Match fitness and training sessions are two different things and he's improving.
"He's fine when he doesn't play. He knows we have strong competition and it's good for the team."