The 22-year-old has stated that he is happy in the south of France but admits he would consider a transfer to a big club as that would enhance his prospects with the Spain national team.
Azpilicueta joined the club in June 2010 and has proved a success but is yet to make his debut for Spain due to the impressive form of Sergio Ramos and Alvaro Arbeloa.
"For me, these are just rumours," he told L'Equipe. "There has been no contact, and I am still bound to OM until 2014.
"Now, if the leaders of Chelsea want me, they should first discuss that with OM. If a proposal comes, I will think about it.
"It is more difficult to start in the national team when you do not play at a great club. You have to be at Real or Barcelona.
"But I feel good today at OM."
Chelsea have recently strengthened their backline with the signing of Gary Cahill from Bolton for £7 million.