Manchester City are currently 11 points clear of third-placed Chelsea heading into the midweek Premier League action.
Pep Guardiola’s side are unbeaten after 13 games this season and are also eight points ahead of Manchester United.
But Cole, who won three Premier League titles during his time at Arsenal and Chelsea, is hopeful Antonio Conte’s side can retain their trophy.
“No I don’t think it’s over,” he told ESPN.
“Like you mentioned, City have been on fire, playing well. They seem to have kind of come together at the moment.
“But you know as players you’re never going to give up.
“Chelsea are the holders of this cup so I don’t think they’re going to give it up too easy but who knows?
“Hopefully they can retain this beautiful trophy.”
Cole was then asked whether Chelsea should prioritise the Champions League because they are so far adrift of Man City.
“No, again as players you’re never going to make one trophy as priority,” responded Cole, who won the Champions League with the Blues in 2012.
“They’ve still got a chance to retain the league, win the league.
“It’s something they will be thinking in the back of their mind to of course make history again and win a Champions League again.
“But I think on all fronts they are still fighting for a lot of trophies.”
Chelsea are next in league action when they host Swansea tomorrow night.