Have they made a protest?" he said, in response to the Mourinho reports.
"I'm not aware of that.
"Why would they complain to Fifa?
"I know there were pictures of us. We were in Spain. We travel a lot."
"We attract headlines no matter what we do," he remarked.
"It comes with the territory, we're in the big league, and the headlines are not always what we want.
"The speculation is not helpful and we need to settle things down and the real final run-in is now on. Headlines don't influence what we do.
"At the moment, there is no record of any formal protest being lodged with Fifa in this regard," said the statement.
In a seperate interview with Chelsea TV, Kenyon discussed our chances of reaching our first ever Champions League Final.
"Everyone in the squad wants to finish first but that goal has eluded us this year, so finishing above a key rival like Manchester United is a good achievement.
"It's the first time Chelsea have been in the semi-final, we've already made history and it's good to be a part of that, but you can almost smell the final just ahead of you.
"It's a big game coming up and it's not out of our grasp yet. We've got to concentrate as 2-0 will do it for us."
Kenyon can do all the phone ins, statements and so on that he likes, but until he honestly answers one simple question, Chelsea fans will never warm to him or his ways.
That question simply is, "Are you sacking Claudio Ranieri and if so, who will replace him? "