The former England boss is one of a number of different names that has been mooted as a potential successor to Rafa Benitez at Stamford Bridge, as the Spaniard looks set to end his interim tenure at the end of the current campaign.
Blues owner Roman Abramovich is busy making plans for a permanent appointment to take charge of first-team affairs from the start of 2013/14.
However, Capello revealed that he has no knowledge of Chelsea's reported interest, and is staying fully focused on his current job, which is to help the Russian national team qualify for the 2014 World Cup.
"I know nothing about this (link to Chelsea)," he stated in his pre-match press conference, ahead of tonight's qualifier against Northern Ireland. "I am really happy with Russia and focused to qualify for the World Cup.
"I am not concerned about the pitch, more about the wind than the pitch. If we play in this wind it will be a difficult game. I hope the wind will be lower or it will be a different type of game."
Russia currently top Group F after four consecutive victories, and Capello - who is on a reported pay packet of £7million-a-year - will be looking to mastermind another victory in Belfast on Friday evening.
"They are a strong team and play a really combative game," added the Italian. "They are dangerous from set-pieces. It is not an easy game but I have confidence in my team.
"We have Portugal and Israel to come but I am focused on this game. Every game is difficult."
After coming through tonight's chilling temperatures at Windsor Park, Capello will head to Stamford Bridge of all places, as his Russia side take on Brazil in an international friendly on Monday.