The Blues were linked with the Chilean international on Monday evening following reports that Manchester City had ended their interest in the 29-year-old.
Manchester United are also understood to be plotting a move for Sanchez, who has entered the final months of his Arsenal contract.
"I don't know, I don't think so," the Italian said when asked about the player at a press conference. "About the transfer market - I prefer to talk to the club and give an opinion and I repeat that I don't want to give my opinion on that."
Chelsea face Norwich City in an FA Cup replay on Wednesday evening after drawing 0-0 with the Canaries at Carrow Road.