The 23-year-old Brazil international has been one of the most impressive performers in the Bundesliga this season and has been linked with a move to both Avram Grant's Blues and Spanish giants Real.
But the former Porto midfielder, who signed a one-year extension to his deal at the Weserstadion earlier this season, is under contract until 2011.
"No one has rang me from Madrid - neither regarding Diego nor any other Werder players.
"Diego is not for sale. He has a contract with us until 2011 and is the most important player in our team."