Whelan believes a move to a top club like Chelsea would be counter-productive to Moses' development.
"If he gets the move to Chelsea, will he get to play in the first team every week?" the Latics chairman told the Wigan Evening Post.
"That's what he needs at present - experience and guidance.
"He's had nothing but that from Roberto over the years, and how the lad can even consider he won't sign an extension, after what we've done for him, just frustrates you. It makes you wonder whether it's all worth it."