The Benin international is currently on the books of Paris St Germain, but has been linked with a move elsewhere for some time.
He has proven to be a revelation in Ligue 1 this season, having moved to the French capital from Le Mans last year.
Now a host of clubs are chasing his signature, with Chelsea believed to be leading the race.
"It is always nice to know that a great club like Chelsea are interested in me," Sessegnon told Orange Sport.
"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 cost PSG 10million euros (£8.9m) last summer but Chelsea should have no problem funding a possible swoop, with owner Roman Abramovich set to bankroll a summer spending spree.