The winger was dropped from the starting line-up after a disappointing performance at Wembley against Tottenham.
He did not feature against West Ham and played only 11 minutes of the 3-0 victory over Olympiacos in the Champions League.
Rumours began to spread that Wright-Phillips was among a group of unhappy players ready to exit Stamford Bridge.
However, the 26-year-old, who returned to the side for the FA Cup clash with Barnsley on Saturday, has insisted he is happy at Chelsea.
"With Chelsea I believe I can get better - and that's what I am trying to do every day," Wright-Phillips said in the Daily Star.
"After the Carling Cup final there was no truth in what was being said. We lost and we weren't happy because as a team we should have done a lot, lot better - but that was it.
"I heard about what was being said and written - and it was a load of rubbish."