Claudio Ranieri is known to be an admirer of the South American centre back, with German sources indicating that a massive ‚é¼20 million bid has been planned by the wealthy West Londoners.
However, Kaenzig has insisted his prize asset is going nowhere, for the moment.
"We are aware of Chelsea's interest, but nothing will be happening during the winter break," he told Express.
"We need Lucio as we fight for the title.
"His value won't go down by the summer.
"We're near the top of the table and it would be madness if we weakened our squad."
Kaenzig admitted that squad players such as unhappy former German international defender Ingo Hertzsch could be allowed to leave the BayArena club, but there is no question of Lucio departing this month.
"We want to qualify for the Champions League and so Chelsea are going to have to be patient," he added.
