The former England manager, now in charge of Russia, is one of a number of high-profile names linked to the manager's job at Stamford Bridge with Benitez, an interim in the role, set to leave in the summer.
But as he prepares the Russians for a World Cup qualifier against Northern Ireland on Friday night as they look to build on a strong start, which has seen them win four games in a row to top Group F, the former AC Milan, Juventus and Real Madrid boss is concentrating on the job in hand.
"I know nothing about this (link to Chelsea). I am really happy with Russia and focused to qualify for the World Cup," Capello said.
Capello was not interested in discussing the Blues job any further, instead turning his attention to the inhospitable conditions in Belfast.
Russia are well used to the chilling temperatures forecast at Windsor Park, but Capello is mostly concerned about the strong wind he experienced at today's training session.
"I am not concerned about the pitch, more about the wind than the pitch," he said. "If we play in this wind it will be a difficult game. I hope the wind will be lower or it will be a different type of game."
Capello caused a stir when Michael O'Neill's side visited Moscow when he appeared to treat victory as a formality prior to the match. A 2-0 win duly followed but his tone was more respectful ahead of the return fixture.
"They are a strong team and play a really combative game," he said. "They are dangerous from set-pieces. It is not an easy game but I have confidence in my team. We have Portugal and Israel to come but I am focused on this game. Every game is difficult."