Cole, who missed England's recent World Cup qualifiers and Saturday's 4-1 defeat of Cardiff with a rib injury, trained with the squad on Monday morning, but was not on the flight to Dusseldorf.
"Jose Mourinho believes Tuesday's game has come just too soon for the left-back and he has remained in the UK," a story on chelseafc.com read.
Forward Andre Schurrle (leg) did travel as part of a 21-man group.
Mourinho has no fresh injury concerns and Cole's absence suggests the Blues boss has one eye on Sunday's Barclays Premier League match with Manchester City.
Schalke lead Group E on six points and Chelsea have three points ahead of the fixture at the Veltins Arena in Gelsenkirchen.
It will be Chelsea's first match in Germany since winning the 2012 Champions League in Munich.
Source: PA
Source: PA