The Italian international has been linked on a number of occasions with a move to England but after a lengthy spell at the San Siro, the 33-year-old moved to Turin.
However when Carlo Ancelotti was manager at Stamford Bridge, Pirlo has admitted he almost made a move to the Blues.
He told the Daily Mail: "I have a very strong connection with Ancelotti so I was in touch with him when he went to Chelsea.
"I had already started negotiating with the people at Chelsea but then finally Milan didn't let me go. That's why I stayed.
"Certainly it would have been a different experience that I'd have liked, especially when I was 30 years old. So why not? But unfortunately it didn't happen."