Mourinho, who is under contract until 2010, said he had "done nothing" to encourage speculation that he could replace Fabio Capello at Madrid at the end of the season.
"I don't want my name linked with Madrid or with any other club because I want to stay with Chelsea and while I believe that I'm going to continue here I don't want to hear about any other club," the Portuguese was quoted as saying by sports daily Marca on Thursday.
Mourinho, whose future has been under scrutiny after an apparent dispute with Chelsea owner Roman Abramovic, acknowledged that his departure from the club could happen.
"If I have to leave for some reason or because someone wants me to ... that's life in soccer. And if I leave I want to keep coaching next season at another European club. I like English soccer and I'd like to coach another club in the Premier but not now," he said.
"I don't imagine leaving Chelsea and going straight to another English club. It would be a very strange situation and I don't want it to happen."
Mourinho has been immensely successful since taking charge of Chelsea in 2004, leading the team to two straight Premier League titles. The London club's only other league title arrived in 1955.
This season, Chelsea is aiming for an unprecedented quadruple success. Having already won the League Cup, Mourinho's side has reached the semifinals of both the Champions League and the FA Cup in which it plays Liverpool and Blackburn Rovers respectively. In the league, Chelsea trails Manchester United by only three points.
"I have done work in these three years which could be termed historic, because some of the things we have done can only be termed in this way," he said
Mourinho described this season as his best because Chelsea has had to overcome "incredible situations" involving injuries to goalkeeper Petr Cech, captain John Terry, forward Arjen Robben and midfielder Michael Essien.
"Despite everything, look what we are doing. The work of the team, not mine, has been very good up to now and I'd like to continue," Mourinho said.