The 22-year-old only joined CSKA from Swiss side Young Boys in January but he admits he is struggling to adjust to life in the Russian capital.
Seydou, who was part of the Ivory Coast squad at this summer's World Cup, has always been a follower of English football.
And a move to the Blues would see him link up with compatriots Didier Drogba and Salomon Kalou.
"Chelsea have been my favourite team since I was a kid," Seydou, who is reportedly valued at around £5million by CSKA, said in The Sun.
"It's my dream to play in England - Moscow is too cold for me."