Michael Essien is also training with the club's development squad, while Andrea Pirlo visited with his son to meet with Antonio Conte, who was his manager at Juventus.
The Coles have reunited with their former team-mates John Terry and John Obi Mikel. They have also had offers from the Football Association to start their coaching badges, as they prepare for life after football.
Chelsea have a host of former players working for the club in coaching and non-coaching roles including the likes of Carlo Cudicini, Paulo Ferreira and Jody Morris - and they are open to finding roles for their former players who were part of league winning sides after Roman Abramovich's takeover.
The three Chelsea legends won't be in contention to play matches for the club with Ashley set to return to LA Galaxy, while Joe will return to Tampa Bay Rowdies ahead of the 2017 season, which starts in March.
Frank Lampard wasn't one of the players who has been at Chelsea in recent days as he is yet to announce his next step after leaving New York City FC in November.