The Blues' interim boss Rafa Benitez will leave the club at the end of the season, and a host of former Chelsea favorites including Gus Poyet, Didier Deschamps and Zola have all been linked with the post.
Zola has guided Watford into contention for promotion from the League Championship in his debut season at Vicarage Road, sparking suggestions the Blues may make an approach for the 46-year-old.
"No one from Chelsea has spoken to me," Zola told the Daily Mail. "I am respectful for what Watford have done for me, and I am focusing on getting the job done here.
"I really don't know what is around the corner for me, but whatever happens to me is all down to this experience, because I have to prove myself as a manager. I am enjoying what we are doing at Watford."
Zola left Chelsea shortly before Roman Abramovich's takeover of the club in 2003, having scored 59 goals and establishing himself as one of the most popular players in the West London side's history. Abramovich attempted to bring him back to the Premier League only to be turned down as Zola sought more coaching experience.
"Mr. Abramovich asked me to be part of Chelsea again but, at that moment, I didn't even consider going into management as I didn’t think I had the necessary qualities," Zola said. "Mr. Abramovich brought a lot of resources, and very good players came in and the club became one of the most successful in Europe. All I can say is the club deserve it. The way they treated me, and all the others, was special."