The Belgium international was interviewed by reporters at their Euro 2016 training camp in Bordeaux after his winning goal against Sweden sent his country through to the last 16.
While Nainggolan admitted his agent and the Serie A club have opened talks with the Blues, he dismissed suggestions he'll be leaving, having made a promise to Giallorossi president James Pallotta.
"I said to him [Pallotta] I love where I am playing so why not stay?" the 28-year-old said.
"Chelsea were talking but at the moment there is nothing. The Premier League is a big competition, it's lovely, but I think sometimes in life you need to make choices, and all I can say is that I am happy where I am."
After joining the Eternal City outfit for €15 million from Cagliari, Nainggolan has scored 13 goals and registered 11 assists in 108 games.