Malaga coach Manuel Pellegrini's agent has hinted Chelsea have made an initial approach for the Chilean.
The Blues are again in the market for a new manager - their fifth in the past three years - after Carlo Ancelotti paid the price for a trophyless campaign just 12 months after guiding his team to an historic double.
Jesus Martinez told Chilean radio station Cooperativa: "It is normal for clubs without a coach, such as Chelsea through intermediaries, to start asking Pellegrini, but he is very comfortable at Malaga and has a contract there. He has put a lot of effort into Malaga and is pleased and excited to work with the team."
While Guus Hiddink is said to be club owner Roman Abramovich's first choice to reprise the role he filled on a temporary basis to such great effect two years ago, convincing the Dutchman to leave his current post with the Turkish Football Federation could prove complicated.
That could lead to Chelsea looking at other targets, such as Porto boss Andre Villas-Boas.
Chelsea maintained they would not be making any comment on the continuing speculation regarding the appointment of their new manager.