Reports had suggested that Blues boss Jose Mourinho was interested in signing 40-year-old Zanetti and offering him a role as player/coach at Stamford Bridge.
Zanetti knows Mourinho well from the Portuguese's time in charge of Inter, and admits they are still in regular contact.
However, he maintains there has been no talk of a transfer and has assured Inter fans that he has no intention of going anywhere.
"Honestly, I have a great rapport with Mourinho. We hear from each other frequently, but we've never discussed these things," he told the Inter Channel.
"I believe the Inter fans know how I feel about this shirt. I've always stressed that this club is my life and my home.
"And it's my desire to stay here. I don't need to add anything else."