The former England manager is among a number of coaches who have been linked with the Stamford Bridge hot-seat in the summer, when interim boss Rafael Benitez will leave the club.
But he is currently employed by the Russian FA and has made a strong start, topping Group F with four consecutive wins on the road to Rio.
His pay packet, a reported £7 million a year, is also a hefty incentive to remain in Moscow.
Capello's side take on Northern Ireland on Friday night before decamping to London for a friendly with Brazil on Monday.
That takes place at Stamford Bridge, of all places, but the Italian did his best to dampen any speculation.
"I know nothing about this (link to Chelsea). I am really happy with Russia and focused to qualify for the World Cup," he said.