Roberto Di Matteo is thought to have been eyeing Falcao this summer, as he looks to strengthen his striking options following Didier Drogba's departure.
The Colombia international says that he aims to stick with Diego Simeone's men, making it clear that he wants to help his team progress in both La Liga and the Uefa Super Cup against the Blues.
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"Our work from the last campaign will help us a lot going forward. We will take this season game by game, starting from against Levante. By getting good results against them and then Athletic in the league, we enter the game against Chelsea in the best of shapes.
"The Super Cup is a title that adds a lot of prestige to a player. I did not manage to play last year's edition with Porto, and am relishing the opportunity against Chelsea.
The 26-year-old has won two Europa League titles on the trot, the latest arriving with Los Rojiblancos thanks to his well-struck two goals in the final against Spanish rivals Athletic Bilbao.