Kenyon was replaced as the club's chief executive by Ron Gourlay, who many felt was going to be in charge of recruiting new players and managers.
However, despite reports having linked Dortmund coach Jurgen Klopp with a switch to Stamford Bridge, Watzke has insisted that his club have no relationship with Chelsea, unlike with other English teams.
"I have no contacts at Chelsea. Chelsea have not been around long in terms of European football. For a while there was Group 14 and they were not a member," he told the London Evening Standard.
"Chelsea had Peter Kenyon back then, I had a good relationship with him, but since he left the club I do not with the others.
"Now we have connections with Manchester United because we made the transfer over Shinji Kagawa [last summer]. We also have good relation with Arsenal and Ivan Gazidis. However, Chelsea for us is a dark hole because no-one knows who says yes or no."
Chelsea have had six different managers since Klopp took charge of Dortmund in 2008.