The Liverpool skipper was heavily linked with a move to the Blues over the summers of 2004 and 2005, and Cole admits that Gerrard would have been a great addition to the squad.
Speaking in a Q&A session on Twitter, the former Arsenal defender was asked who he most regrets not seeing sign for Chelsea. "Steven Gerrard about 5 years ago. Great player for Liverpool & England," he replied.
Cole also spoke of the current attacking mentality the Blues have adopted this season, following the arrivals of Eden Hazard and Oscar.
"With the new signings we've got we're playing v attacking fball, so I hope it entertains!" he added.
Cole signed for Chelsea from Arsenal in 2006.