Markovic, who was strongly linked with the Stamford Bridge club three months ago, swapped Partizan Belgrade for Benfica in June this summer.
Chelsea were thought to be keen to sign the Serbian international, but then to loan him out for two seasons.
But Benfica won the race for his signature, tying him down to a five-year deal. He made his debut on August 25th, and has already scored two league goals for his new club.
He's now set to link up with the Serbian national team ahead of their World Cup qualifiers, and speaking to reporters he addressed the reported interest from Chelsea.
"They did not sign me? Their error," Markovic is quoted as saying by Portuguese newspaper A Bola.
Serbia face an uphill struggle to qualify for next year's World Cup, and currently sit third in Group A - nine points behind second placed Croatia and 12 points shy of top of the table Belgium.
But one-time Chelsea target Markovic insists his country will fight until the end.
"Of course we have played better than what our result suggest," continued the 19-year-old.
"Croatia are a good team, but we go into every game to win, and I hope it continues."
Markovic and Serbia take on Balkan rivals Croatia on Friday September 6th.