The Senegalese striker has started just two Premier League games this season, with Fernando Torres and Samuel Eto'o often preferred by Jose Mourinho.
Reports have linked Ba with a switch to the Emirates Stadium, but he insists he is staying put.
"People talk a lot about me joining Arsenal. But there has never been an approach from them," Ba told The Sun on Sunday.
"There is nothing going on in this regard. Things are OK for me at the moment.
"It's working, as the situation is turning around for me here bit by bit. You just need a bit of time to adapt when you change clubs.
"I've been in a process of adaptation while moving between West Ham, Newcastle and Chelsea.
"But as soon as I'm given the chance to prove myself, I take it. So the fact that I've often been on the substitutes' bench is nothing serious."
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