A fans' favourite from his time at Stamford Bridge as a player, Zola continues to be touted as a potential successor to Rafa Benitez.
The Spaniard has made it clear that he will be leaving Chelsea in the summer when his deal as interim manager comes to an end.
Numerous candidates have been offered up as possible targets for Blues owner Roman Abramovich, with Zola among them.
He is, however, keen to distance himself from the reports and focus his efforts on guiding Watford to promotion into the Premier League.
Zola said in the Mail on Sunday: "No-one from Chelsea has spoken to me.
"I am respectful for what Watford have done for me and I am focusing on getting the job done here.
"I really don't know what is around the corner for me, but whatever happens to me is all down to this experience because I have to prove myself as a manager. I am enjoying what we doing at Watford, enjoying and learning."
Zola has Watford sat third in the Championship at present and claims the club will do all they can to keep key men at the club over the summer - although sanctions from the Football League regarding transfer activity could hamper their plans.
He added: "The Pozzo family have ambitious ideas for this club.
"I don't think this will be seen as a club where players are in transit, and we will try to keep the ones from Udinese that we believe are good enough to stay if they want to stay. Hopefully there is a solution to the embargo, too."