The 27-year-old left-back was speaking at Sweden's pre-match press conference ahead of their final group game against Japan. Swedish outlet Expressen reported earlier this week that Chelsea have placed Gudmundsson on their list of candidates to replace Marc Cucurella, who joined Real Madrid this month.
"It is clear that it is a confirmation that you are doing something right," Gudmundsson said. "But of course all focus is on the national team here, so that is all I can comment on.
He also made clear that he has instructed his agent not to bring club matters to his attention during the tournament.
"I have worked with him for ten years — he knows that when I am here I want to wear this shirt and focus on this. That is what applies."
Gudmundsson joined Leeds United from Lille last summer and established himself as one of the first names on Daniel Farke's team sheet, starting 31 of his 32 league appearances. He has also started both of Sweden's opening group games at the World Cup.
Chelsea have already secured Atalanta's Marco Palestra, a right-sided wing-back, but the left side remains unresolved following Cucurella's exit. Gudmundsson, who has three years remaining on his contract at Elland Road, represents an established Premier League option at the position Xabi Alonso most needs to fill.
Leeds are not expected to make his sale easy. The club view Gudmundsson as untouchable and are preparing to rebuff any approach. His contract runs until 2029, giving the Yorkshire club a strong negotiating position.
Sweden's World Cup campaign has been mixed. They beat Tunisia 5-1 in their opener before losing to the Netherlands by the same scoreline. A win against Japan in the final group fixture would confirm progress to the last 16 and strengthen Gudmundsson's market value further, regardless of which club ultimately pursues him.