The 26-year-old, who is contracted to Juve until June 2020, was reportedly the subject of a €60 million offer from the Premier League champions.
But Marotta says the Italian champions have no intention of selling their best players.
Marotta told Corriere dello Sport: “Our desire is to not sell any of our most important players.
“We said no to a very good offer from Chelsea for Alex Sandro.
“But we know that we are competing with clubs that are in a position to offer wages that are not rational for us. And players are always their own boss.
“I do not know how Alex Sandro reacted.”
Sandro has seven Brazil caps and joined Juventus from Porto in 2015, having also played for Atletico Paranaense and Deportivo Maldonado.