But the Swansea striker was determined to lead his team to safety following a successful first spell in England.
The 32-year-old arrived at the Liberty Stadium last summer after penning a two-year deal.
Llorente’s experience and goals have helped keep Swansea in the Premier League.
Despite his edging towards the latter stages of his career, the Spaniard has shown he can still flourish at the top level.
And his form in Wales caught the eye of former boss Antonio Conte.
Chelsea wanted Llorente to swap fighting relegation for challenging for the title at the midway stage.
The ex-Juventus man would have reunited with Conte and provided support for Diego Costa.
Swansea's Fernando Llorente has impressed with a joint-league high seven headed goals this season
I know Chelsea wanted me in January
However, Llorente insists he never considered the idea of leaving for west London, but may do so in the future.
“I know Chelsea wanted me in January,” Llorente told the Daily Mail.
“I said straight away that I wanted to stay here. We were fighting relegation, there was a cause. I could not go.
“If a big club comes in for me in the future who knows because every player wants to play for a big club. But I am very, very happy here.
“I have always wanted to play in the Premier League and I truly believe it is the best league in the world.
“It is an intense league and it has been a hard season because I am used to winning. But it is also very rewarding when you achieve in this intense situation that we had here.”
How Chelsea could line up next season if Antonio Conte signs these players Fri, May 12, 2017
Is this how Chelsea could look next season?
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Is this how Chelsea could line up next season?
On the Chelsea boss, Llorente added: “I worked with Antonio Conte… He is so passionate.
“I remember the first time playing under him at Juventus he was shouting on the side and waving and I was thinking, ‘OK, I like him’.
“He feels it, he lives the match like a player. The most serious manager I had but also a gentleman who jokes. He worked us the hardest of anyone.
“Mentally I was exhausted. And then from November in my first season at Juventus I was playing every match. And I felt I could because he brings you to that level. It is crazy work but good work.
“He is a winner. Everything he does has a reason.”