The club have appealed against the decision but said they were "astonished" when the governing body denied their request to freeze the ban during the appeals progress.
Christensen, who has made just three Premier League starts this season, has been linked with Bayern Munich and Barcelona but now the Dane may have to make peace with remaining in London.
"The messages we've got are that Chelsea can't appeal the case and therefore want to keep all the players," the 22-year-old told Danish newspaper Ekstra Bladet.
"The situation I have ended up in has been very difficult to accept."
Chelsea's ban may also complicate the future of talisman Eden Hazard, who said last year it was his dream to play for Real Madrid. British media have since reported that talks over a contract extension have been put on hold.
Christensen, meanwhile, is looking for opportunities to impress manager Maurizio Sarri in Europa League as he bids to establish a starting position.
"I have tried to show myself on the training track, but it is difficult because it is limited how much we train with all the matches the team is going to play," the centre back added.
"Now I have played the matches in the Europa League and hope it will continue as long as we are in the tournament."
Chelsea face Slavia Prague in the quarter-finals of the Europa League next month.
(Reporting by Hardik Vyas in Bengaluru; Editing by Christian Radnedge)
