Frank Lampard, who scored a record 211 goals for the Blues between 2001 and 2014, was earmarked as a possible replacement if Sarri is to lose his job at Stamford Bridge.
However, Lampard, 40, is currently boss at promotion-chasing Championship outfit Derby County and he has no intentions to leave the Rams anytime soon.
When told that he was now the bookmakers favourite to take over from Sarri, Lampard responded negatively.
“Bookmakers are not always right for starters!” he said.
The ex-West Ham midfielder was also asked if he was ‘excited’ about the prospect of managing his former club after their recent defeat.
“I will never get excited about that,” he responded.
“It is certainly a club I respect and a manager that I respect so it wouldn’t make me smile or anything different because my job is here.
“I obviously follow Chelsea, have huge respect for them, and I hope to see them, put some form together and turn those results around.”
As well as playing for Chelsea, Lampard had a one-year spell as Manchester City player after leaving west London, which the former England international mentioned on Monday.
He said: ”With my Chelsea hat on, 13 years a player there obviously, you have a feeling for it and it is not easy.
“It is not nice, and it doesn’t happen to Chelsea much so when it does, it is a shock.
“But let us get it right, they are going up against an incredible team.
“I had some time at Manchester City as well so I have some feelings for them.
“The work Pep Guardiola and their incredible squad have done is something special, so they [Chelsea] came up against a great team.”
“With all top teams, the important thing is that you come back strong – no matter [after] what type of defeat.
“It is what makes top teams, resilience, and Chelsea as a club will have it.”