English forward Vardy was reportedly linked with the Blues in December 2015 following the sacking of Jose Mourinho from Stamford Bridge, as the West London club looked to bolster their attacking options.
The two sides, who meet in the Premier League today, were never in contact about a transfer for Vardy, according to Conte.
"For sure Vardy is a really good player and I don't like to speak about players of other teams," the Italian told reporters at a press conference.
"But in this case, we are not talking about the transfer market. No, honestly we didn't speak about him. But I repeat we are talking about a really good player.
"I appreciate a lot this player because he is a really good player. He played for the [England] national team and is scoring with regularity in this league and is a good player."
Chelsea defeated the Foxes in their previous league meeting this season, winning 2-1 at the King Power Stadium in September.