The Blues have been linked with a £12m move for the 24-year-old, and are apparently ready to pay him £2m a year.
Del Horno said: "For both Athletic and me it would be difficult to say no to an offer like this.
"With a contract like this I would sort out not just my life but my family too, and Athletic could clear their debts."
Speaking on Spanish radio, he added: "If you look at the figures that are being talked about then it seems unthinkable that a team would pay that sort of money for me.
The Spanish international, who came up through the club's youth ranks, is under contract to Athletic until 2007.
Chelsea have been eager to sign a left-back following Celestine Babayaro's move to Newcastle in January.