Batshuayi is on a straight loan at Borussia Dortmund to the end of this season.
And BVB chief Hans-Joachim Watzke revealed: "We tried our best to get a permanent option for Michy Batshuayi.
"But it was a no go for Chelsea. When Roman Abramovich says no, it is a no."
The 24-year-old has switched seamlessly from life in the Premier League to the Bundesliga.
He has netted three times in his opening two matches for Peter Stoger's side, while also registering an assist.