Current Madrid boss Jose Mourinho is reported to be leaving the Spanish champions at the end of the season after falling out with a number of his senior players, including Iker Casillas and Sergio Ramos.
"Obviously I know the place very well - I was there from 13 years old as a player and coach," Benitez told Marca.
"I am a Madrid fan. It is nice to be linked in one manner or another, but that does not make me lose my current concentration on Chelsea.
"I have a good relationship with [Madrid president] Florentino Perez. Whenever I have talked with him, he has always been polite."
Benitez has also revealed that he will return to managing his former club Liverpool one day in the future.