The Benin international, 24, has been a revelation since joining PSG from Le Mans last summer and a number of major clubs, including English giants Chelsea, have been linked with him.
Sessegnon has welcomed this speculation, and is quoted as telling Orange Sport: "It is always nice to know that a great club like Chelsea are interested in me.
"It is some sort of reward for all the hard work I have put in.
"But there is nothing concrete for the moment and the rumours that appear in newspapers may not be true.
"You must never close the door, although that doesn't necessarily mean I am leaving."
Sessegnon, who can play anywhere along the midfield, joined PSG for a fee believed to be in the region of 10 million euros and has shone in his first season at the capital club.
He has also been linked with a move to Arsenal.