Speaking ahead of Friday's qualifier against Northern Ireland, the former England head coach insisted he was unaware of reported interest from the Premier League outfit
With current interim incumbent Rafael Benitez confirming his end-of-season exit recently, the former England manager is one of a number of potential candidates for the Stamford Bridge hot-seat next term.
But the Italian insists he is in the dark over possible interest from Chelsea owner Roman Abramovich, instead underlining that his sole focus is on Russia.
"I know nothing about this [link to Chelsea]. I am really happy with Russia and focused to qualify for the World Cup," he said.
Capello takes his table-topping Group F side Russia to Windsor Park on Friday to face winless Northern Ireland with the hope of making it five wins for their opening five qualifying fixtures.
The Italian angered Michael O'Neill ahead of victory in the reverse tie last September by insisting a win would be routine for Russia, but was less confident at Thursday's press conference.
"They are a strong team and play a really combative game," he added.
"They are dangerous from set-pieces. It is not an easy game but I have confidence in my team. We have Portugal and Israel to come but I am focused on this game. Every game is difficult.
"I am not concerned about the pitch, more about the wind than the pitch. If we play in this wind it will be a difficult game. I hope the wind will be lower or it will be a different type of game."