The former Blues defender was a guest at the Europa League draw in Monaco where he revealed his next move.
He said: "I've worked under some great managers, took a lot from them so I will go back to Chelsea and work with their under-15s and see where it goes from there."
Cole, 38, put an end to his trophy-laden 20-year career live on TV while working as a pundit for Sky Sports.
After coming through the youth ranks at Arsenal, he made a controversial switch to Chelsea in 2006 before finishing his career with spells at Roma, LA Galaxy and finally Derby at the end of last season.
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