Media reports last week suggested some Stamford Bridge officials were urging owner Roman Abramovich to try something different in the summer.
And with current boss Antonio Conte expected to leave the club at the end of the season, Town's head coach was mooted as a shock target for the Blues.
However, when asked about the possibility of leaving West Yorkshire in the summer Wagner stressed he would never speak to any club behind his current club's back.
“I speak over every decision with the owners of our team - we have experienced a lot of memorable moments together, we respect and support each other.
"It will always be like this - the first and last conversation I have will be with our owner, I owe it to the club.
“I did the same way last year - first reaching the big goal, then sitting down at one table — we have a great relationship and talk about the future in peace.”