“I will be staying at Fenerbahce next season,” Kjaer said ahead of the Turkish Cup final against Galatasaray.
The Blues have been closely linked with Kjaer over the past few months and have been keeping tabs on the Denmark international according to Fanatik.
The report claims that Fenerbahce want €20 million for their star defender.
Kjaer still has another three-years on his deal with Fenerbahce and a source close to the player told Turkish-football.com that despite the transfer rumours Chelsea have not made an offer.
The powerful defender is set to start for Fenerbahce against arch rivals Galatasaray in the Turkish Cup final tonight in Antalya.
Kjaer will miss the European Championships in France this summer after Denmark failed to qualify for the tournament.
Fenerbahce finished the league as runners up but have the chance to win silverware this season in the cup final tonight.