The Belgian forward joined the Bundesliga outfit on loan until the end of the season on the final day of the January transfer window.
Despite the fact that Batshuayi was not favoured by manager Antonio Conte - handed just three starts in the Premier League this season - Abramovich was apparently not keen on selling.
According to Belgian journalist Kristof Terreur, Watzke said: "We tried our best to get a permanent option for Michy Batshuayi, but it was a no go for Chelsea. When Roman Abramovich says no, it is a no."
Reports have claimed that Dortmund will try to buy the striker on a permanent deal in the summer.
The 23-year-old has made an immediate impact, scoring three goals and creating one assist in two league appearances.