The 39-year-old forward became the first player to own a club when he bought United Soccer League club Phoenix Rising FC earlier this year.
Now with Phoenix Rising, Drogba told RMC: "What I am going to say about Marseille is sensitive and will be reported".
After a two-year absence, Drogba returned to Stamford Bridge to reunite with former boss Jose Mourinho and help the Blues win the Premier League title.
Drogba further said, "At some point, you have to stop".
Drogba has been playing for Phoenix since the turn of the year, where he has scored 10 times in his 14 appearances.
"Now, was I part of the project when I wanted to come back?"
Any return to Chelsea, as a sporting director or in any other rule, seems hugely unlikely with Drogba enjoying his time in America.
Drogba spent the 2016-17 season in the MLS with Montreal Impact. "It's good to play, but at 39, it holds me back a bit".
Since leaving Chelsea, Drogba has been followed by the likes of Diego Costa and Alvaro Morata, but the Ivorian's big game match winning ability will ensure his legacy lives on at Stamford Bridge.