The 21-year-old Argentina international scored two superb goals in Tuesday's 2-2 Champions League draw with the Londoners and Atletico reportedly turned down a Chelsea offer of around 35 millions euros for him in the close season.
"I know that people were saying they (Chelsea) wanted me during the summer and that there were several teams tracking me but nothing ever came to me and I am happy at Atletico," Aguero said in an interview published in Thursday's As daily.
"It's nice that people say I could play in a team like Chelsea, one of the best in the world," he added.
"I like it (Chelsea's interest) and it makes me happy but I am the same person as ever and I think the same as before."
Aguero, nicknamed "Kun" after a Japanese cartoon character with a similar hairstyle, said he was focused on Saturday's match against city rivals Real Madrid as Atletico seek to haul themselves out of the relegation zone.
They are in 18th place out of 20 with just one win in nine matches and replaced coach Abel Resino with Quique Sanchez Flores on October 23.
Chelsea are waiting to hear the result of their appeal against FIFA's transfer ban and if it's lifted or frozen they could make another move for Aguero either in the January transfer window or next summer.
"I don't really want to think about any other team. I want to fight with Atletico to the death," Aguero, who joined the club as an 18-year-old, told As.
"I almost feel like I was born here. It's a club that has given me a lot, pleasure as well as pain, but it's a place I feel very happy."
