His former manager Jose Mourinho, now in charge at Real Madrid, has been strongly linked with a move for the left-back.
Cole says he is not thinking about leaving Stamford Bridge, although he admits in the past it was something he considered.
"I've never even thought about it," he told Sky Sports News when asked about a potential move to the Spanish capital.
"I had issues before where I thought about it, but this season I have been fine, I have been on holiday so I have not read anything."
Cole also underlined that Chelsea's players will be fully behind new manager Andre Villas-Boas and that his age - just 33 - is in no way an issue.
"Age is just a number, he has experience of being at Porto, a big club," he said.
"And hopefully he can bring that glory to Chelsea but I don't think the age thing is anything to worry about, I don't think the players think about that. He is our manager now and we have to go out and fight for him.
"Whatever manager comes in we respect him, we are not kids, everyone thinks there are egos at Chelsea, but there aren't and we have to make Chelsea the squad of a few years ago and win trophies."
Cole admits that winning the Champions League is an ambition he is still longing to fulfil.
He added: "A lot of players' dreams are to win the Champions League final, I have played in two finals, but of course we want to win - but we want to win any trophy."
Source: Team Talk
Source: Team Talk