The Argentine international, who signed a season-long loan deal with Milan from Juventus in the summer, has repeatedly been linked with a move to the West London club.
The 30-year-old has scored seven goals in 13 appearances so far for Milan this campaign.
But despite the speculation, Higuain has insisted that his future still remains with the Seria A club.
Speaking about Chelsea’s interest in him, Higuain was quoted by Metro UK as saying: “I’ve read many things.
“I am not angry or upset. I am happy at Milan and the same goes for the club. That’s all that matters.”
Milan will tackle Dudelange in the Europa League fixture on Thursday night.
Higuain added: “We need a win and a good performance to progress in Europa League.
“I want to play and prove that AC Milan didn’t make a mistake in signing me.”
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