Recent reports have suggested that City may make a January offer for 23-year-old French midfielder Matuidi, whose current contract with PSG runs out at the end of the season.
The Ligue 1 giants themselves have been linked with a number of big names, but the club's president insists that they always try to follow the rules while trying to sign players and expect their rivals to do the same.
Al-Khelaifi has also admitted that PSG tried to sign Hazard from Lille in 2012, but backed out once they realised that Chelsea were in an advanced stage of negotiation.
"Interest from Manchester City in Matuidi? I am not worried because they know that if they touch one of our players, then we will be in opposition to them, and we will go and contact their players too," he told L'Equipe.
"We respect all clubs, but if a club tries to buy one of our players, then it will have to face consequences.
"I don't aim this at Manchester City, as from what I know, they did not contact Matuidi."
Regarding Hazard, he continued: "Eden Hazard is an amazing player and, in my opinion, the best player of Chelsea. But we never talked with him.
"In 2012, before he left for England, we had the opportunity to sign him, but we did not.
"Chelsea were in an advanced stage of negotiation and, as we don't want to have any bad relationship with any club, we stopped there. He seems happy at Chelsea."
Al-Khelaifi clarified PSG's view of some of the other players that they have been linked with, including Juventus midfielder Paul Pogba, Barcelona forward Lionel Messi and Miralem Pjanic of Roma.
"Pogba is part of an excellent group of French players whom we are watching," he said. "But when we will be really attracted, then we will talk to Juventus.
"Is there a chance for Messi to join PSG? No, never. If there were no limits at PSG, then we would sign Messi.
"If Messi doesn't join PSG, then that means that there are limits.
"Miralem Pjanic? When we talked with Roma, we discovered that it was very difficult to get him during the January transfer window.
"Roma are second in Serie A and it is difficult for them to let one of their most important players leave in the middle of the season. The tifosi (fans) would become mad!"