The 21-year-old Nigeria international has been the subject of serious interest from Roberto Di Matteo's side, but Whelan believes the player would be better continuing his development at the DW Stadium.
"If the lad had any brains he'd stay under Roberto for another year or so. Chelsea have made three bids and we've not accepted any," he told the Daily Mirror.
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"I don't know if they'll bid again, but if they do we always listen. And if it is what Roberto believes he is worth then we will take it from there."
Moses featured 37 times for Roberto Martinez's side last season, finishing with six goals and six assists as the Latics avoided relegation.