There's not much love lost between the two teams, but somehow Cole has kept in both team's hearts despite moving from one side of London to the other in 2003.
The former England international enjoyed showcasing his attacking talents at both Upton Park and Stamford Bridge over the years, winning three Premier League titles and three FA Cups with the Blues in a superb seven year period that ushered in the Abramovich years.
Cole was voted player of the year at each club, in 2003 at West Ham and in 2008 at Chelsea. After leaving West London, the attacking midfielder took in spells at Liverpool and Lille in France before winding up where it all began back in the East End.
But now, that fairytale ending at West Ham looks like coming too soon for a player that still sees some football in his system yet.
At just 32 Cole isn't prepared to sit on the sidelines and feature intermittently for Sam Allardyce's men, he wants to get out there and enjoy his last few years of football, even if that means leaving his childhood club for the second time.
When asked by Sky Sports whether he would extend his deal at West Ham, due to expire at the end of the season, Cole said: "At the moment it's probably looking unlikely.
"If I could stay and play then that would be ideal but that doesn't look like I'm the manager's first choice.
"I'm being used here and there and sparingly," Cole continued. "But at my age and where I am in my career I want to enjoy my football. I love competing and just want to play.
"I'll be looking next year to play in a more central role. Being a winger in the past 10-11-12 years you lose a bit of patience, you want to come inside.
"We will sit down in a few weeks, I imagine, and get a plan for next year."
Cole has made just 24 appearances since his return to the Hammers in 2012, though has netted 3 times in his 15 games this season, proving he may still be worth a gamble for an ambitious outfit looking to secure their Premier League status.
If QPR go up, expect a certain Mr Redknapp to be the first in line for the man with 56 England caps.