Ferrell was sporting the shirt he wears on The Daily Show, and revealed that his love for the west Londoners runs deep.
"This is the same one as The Daily Show, it's vintage now but I have a new one already," he told the club's official website.
"Chelsea have just reached out to me a couple of times and, I can't say that I only follow Chelsea, I try to keep an eye on all the teams in the Premiership and I love soccer in general.
"I'm a big sports fan as a whole, and was a sports journalist, a very, very good sports journalist."
The 42-year-old star of Anchorman and Step Brothers also revealed that his favourite player is the club's talismanic England international midfielder Frank Lampard.
"I love Frank Lampard, he's one of the toughest guys of all time," he enthused.
"I went to a match against Barcelona two or three years ago and the atmosphere was just fantastic, there is nothing like that here, so it was really fun to watch."
Zack Wilson, Goal.com