The Frenchman was the subject of discussions regarding his future recently, and, due to a lack of recognition at international level, his priority is to join a club competing in the UEFA Champions League.
"Indeed, there were already two contacts, quite positive," he said of Chelsea's interest.
"But it is a little early to say I have already signed with Chelsea.
"As there is nothing on an international level, my ambition is to join a club that plays in the Champions League, or to play Champions League football with Parma.
"At the end of the season, there will be a lot of things to settle with my club, notably on a financial level."
Frey is attracted by the prospect of Premiership football, feeling it will test his goalkeeping ability.
"If I have to choose, I would appreciate having a new experience in England," he told France Football.
"I would like to try the physical aspect of English football, especially in the air."
