The big-spending French champions are understood to be monitoring the Brazilian international, 22, ahead of a possible bid this summer.
"I'm flattered PSG are thinking about me, but I'm happy at Chelsea. Paris are a big club, but I'm happy here," he told French television show Telefoot.
"Lucas, Thiago Silva and I spoke about it a little bit when we met in the Champions League, but there is nothing certain. Because of the transfer fee, they know it will difficult for me to leave."
Oscar joined Chelsea from Internacional in 2011 for £25m.