In an interview with AS, the 25-year-old declared his bewilderment over reports that he was set to leave the Blues this summer, and spoke of how much he enjoys playing in the Premier League and living in London.
"I don't know where that came from," he said.
"The last time I spoke with the club they told me I was a very important player to them and transmitted confidence in me.
"I'm sure (new manager Jose) Mourinho will want to see everyone first and then decide what he wants to do."
Mata was careful about commenting on his new boss before they meet, but expressed confidence they will have a good working relationship.
He said: "You have to know people first before you can evaluate them. After the holidays and after I've rested I'll meet the new boss and I'm sure things will go well."
Mata was raised at Real Madrid's academy before establishing himself at Valencia, and was coy on the subject of a possible return to the Bernabeu in the future.
Asked if a return to the Spanish giants was a challenge he had set himself, he said: "I only have good words for Real Madrid. I was there for four years and they brought me up, both as a player and a person.
"I have many friends there and I'm very grateful to the club. But I've spent two great years in London and the only thing I'm thinking about now is continuing to enjoy this league and this city that I love."