The Blues wanted to bring Dembele, 20, in from Celtic on deadline day.
This morning the striker boarded a plane to London, setting tongues wagging that a deal was in the offing.
But Dembele was heading to the capital to see one of the best doctors in the country about a knee problem.
And this evening the Frenchman tweeted confirmation he was going nowhere.
He wrote “What else?” and uploaded an image of himself in the same pose as Leonardo DiCaprio in The Wolf of Wall Street.
In the scene, character Jordan Belfort roars: “I’m not f***ing leaving”.
Dembele came close to joining Tottenham during last January’s transfer window.
He has scored 20 goals since joining Celtic in the summer when his Fulham contract expired.
Chelsea also made attempts to sign Celtic goalkeeper Craig Gordon.
But Hoops manager Brendan Rodgers has consistently insisted neither player would leave in January.