The 30-year-old has signed a four-year contract for an undisclosed fee, Chelsea said on their official website.
The French midfielder's move to London went through as planned, despite a disagreement over the player's cut of the transfer fee.
Chelsea and Real Madrid had reached agreement on Friday for a reported fee of 24 million euros ($26.24 million), but doubts about the transfer emerged on Sunday when Makelele's agent said his player was expecting Real to pay him 15 percent of the fee.
However Real's sporting director Jorge Valdano rejected the agent's claims on Sunday night as he announced that the transfer was going through.
Makelele, who helped Real win the Spanish league title in 2001 and this year and the European Cup in 2002, told Chelsea television before his transfer was completed:
"Real Madrid is no different to anyone. There's lots of interest, everybody is talking about the ambition of the London club Chelsea."
Makelele's signing has lifted Chelsea's billionaire Russian owner Roman Abramovich's spending on players to well over 100 million pounds ($157.8 million).
"That's it. No more. We've finished," Chelsea chief executive Trevor Birch said on the club's website.
The Kinshasa-born Makelele, who has 24 France caps, joined Real Madrid in 2000 in a $13.7 million transfer from Celta Vigo, having previously played for Nantes and Olympique Marseille.
Makelele, who will wear the number four shirt, joins a Chelsea squad already boosted by the singings of Argentina's Juan Sebastian Veron and Hernan Crespo, Romanian Adrian Mutu, England's Joe Cole, Geremi of Cameroon and Irishman Damien Duff.