The Dutchman, who has been linked with the job currently occupied by compatriot Guus Hiddink, was quizzed on the rumours following a 1-0 win over Manchester United at Old Trafford.
However, the former Barcelona star insists his words then had been misinterpreted, and did not mince his words denying he was considering leaving Southampton for Stamford Bridge.
"That's the problem when you do an interview in Dutch. It's all bulls***. You can't win when you talk to them," he fired to reporters in the press conference.
"I continue at Southampton and I still have one year on my contract."
While Koeman admitted his next move was still up in the air, he insisted there was no truth to the Chelsea speculation.
"After that, who knows. I didn't say anything about Chelsea, I got asked about Chelsea and about Hiddink so I answered," he explained.
"It's all bulls***."
Koeman has been in charge at St Mary's Stadium since 2014, overseeing a seventh-place finish for Southampton last season.
Victory over Louis Van Gaal's men lifted the Saints up to eighth in the Premier League, nine points shy of Tottenham in the final Champions League qualification spot.