Reports emerged earlier this week claiming that the Premier League champions were readying a bid in excess of £30m for the midfielder after Antonio Conte admitted that he would "always want" the Chilean in his team.
However, Heynckes insists that there has been no contact between the two clubs and confirmed that no players would be leaving the Allianz Arena this month.
"Certainly, there's been no contact between the clubs (Chelsea and Bayern). It's just speculation," he told reporters.
"Arturo Vidal is very motivated, he's a top player and we need him at his very best if Bayern is to play well. We won't sell any players in the [transfer] window."
Vidal, who is currently contracted to Bayern until 2019, worked with Conte at Juventus from 2011 to 2014.