The Ghanaian is back at Stamford Bridge following a relatively successful season-long loan with the Magpies.
After making 32 Championship appearances, scoring five times, reports say Chelsea are asking for £6.5 million to allow the 25-year-old join Rafael Benitez's outfit on a long-term deal.
“[There have been] no conversations," Atsu said, according to Shields Gazette.
"I have not heard from Newcastle. What I will say, though, is that I owe them thanks.
"They have given me an opportunity – it is a big club.
“Whatever happens in the future, I thank the fans, Rafa and everyone at the club.
"I cannot say what will happen with me. I cannot predict football.
"I will go back to Chelsea first then we see.”
Atsu joined Chelsea from Portuguese giants Porto in 2013 but a lack of opportunity at Stamford Bridge has seen him spend the last four seasons out on loan.
Newcastle aside, the former Rio Ave man has also had loan stints at Bournemouth, Everton, Dutch club Vitesse Arnhem and Spanish outfit Malaga.