Tipped to move to Napoli throughout the off-season, Atletico have reportedly emerged as the favourites to sign James as the Italian outfit and Madrid struggle to reach an agreement.
James is set to leave Madrid following a two-year loan spell at Bayern Munich, who opted not to make the deal permanent at the end of 2018-19.
Asked about Colombia star James, Cerezo told reporters: "Atletico are interested in great players and James is a great player, but from that to he's going to come, there's some distance.
"Negotiations? Not that I know of, no."
Atletico have been busy in the transfer market, breaking a club record to sign Portuguese sensation Joao Felix, while also adding Marcos Llorente, Hector Herrera, Felipe, Renan Lodi and Ivan Saponjic following the departures of stars like Antoine Griezmann, Rodri, Lucas Hernandez and Diego Godin.
Diego Simeone's transfer business is far from over, however, with Tottenham right-back Kieran Trippier and Espanyol defender Mario Hermoso reportedly close to moving to the Spanish capital.
"We've had a few signings and are in negotiations for a few more," Cerezo said. "Negotiations can end well or badly, but there are negotiations.
"Everything's going well, the team is training well, blending in well and very happy at Los Angeles de San Rafael. Now we're waiting for next season with a month left to go."