The Spaniard has already confirmed he will leave at the end of the season but there is increasing speculation that he could be replaced before then.
Benitez has become an increasingly isolated figure at Stamford Bridge following last week's criticism of supporters who have opposed his appointment and club bosses for giving him an 'interim manager' title.
Capello has been linked with a short-term deal with Chelsea but the Russia coach insists he has not been contacted by the club's owner Roman Abramovich.
He told Radio Anch'io Sport: "No offer has arrived from Abramovich, none of it is true. I'm happy in Russia."
The Italian, who has previously managed Real Madrid, AC Milan, Juventus and Roma, resigned from England in February 2012 and accepted the Russia job following Euro 2012.
He has led his new team to four wins from four games in qualification for the 2014 World Cup in Brazil.
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