The 25-year-old was speaking in Brazil where he is currently on international duty with Spain at the Confederations Cup, and took the opportunity to quash recent rumours surrounding his future.
After contributing 19 goals and 35 assists in all competitions in 2012/13, Mata was named Chelsea's Player of the Year for the second consecutive season.
For that reason alone, he is puzzled as to why there have been suggestions he could be sold by the club during the current transfer window, with some reports indicating that he could return to Spain with Real Madrid.
"I don't know where that came from," Mata is quoted by AS. "The last time I spoke with the club they told me I was a very important player to them and transmitted confidence in me.
"I'm sure (new manager Jose) Mourinho will want to see everyone first and then decide what he wants to do."
Mata came through Real Madrid's youth system before leaving for Valencia at the age of 19, where he went on to establish himself in the Mestalla first-team.
He says he holds fond memories from his time at the Santiago Bernabeu, but is "in love" with Chelsea and the city of London, and has no desire to leave Stamford Bridge.
"About Real Madrid I have only good words. I spent four years there growing as a player and as a person," he reflected. "I have many friends there and I stay in touch with people.
"But I have spent two so good years in London, that the only thing I am thinking about is to keep enjoying this league and this city which I love."