Alex is still wanted by Juventus despite Chelsea telling the Italian club that he won't be released on loan.
The Old Lady were hoping to take the Brazilian on a temporary basis for the 2011-12 season to boost their defensive options.
However, the London club will apparently only release the 29-year-old on a permanent basis to any interested outfit.
Although that news has come as a blow, the Turin giants are still very interested in the centre-back.
The club will now attempt to raise funds in the transfer market first before reinvesting that money on the South American.
The former PSV and Santos player has also been paired with German giants Bayern Munich this summer.