Steelers coach Paul Thompson said the Devils had an advantage, after their request to rearrange their Elite League game 24 hours before the final was declined.
League rules state teams cannot change fixtures within four weeks of a game.
The Steelers face Coventry Blaze in the Elite League on Saturday, 4 March.
"I know Sheffield have tried to make a big media frenzy out of having to play the night before a game," Kelman told BBC Wales Sport.
"But 32 weeks of the year, pretty much, you play two games in a row and I think the fans need to understand that.
"We had the foresight to plan not to play the night before a game, they did not and they wanted a rule put in place that you could not cancel a game in four weeks, so I don't feel bad for them at all.
Cardiff Devils travel to Manchester on Friday to play Manchester Storm in the Elite League, and two days later take on the Steelers in the final at Ice Arena Wales.
"It is advantage to Cardiff because they pulled that move on us that we could not move the game," Steelers coach Paul Thompson said.
"It is not fair. It is a cup final, both teams should have the same opportunity so we are a little bit rattled about that, but I hope that comes back and haunts Cardiff."
The Devils and the Steelers faced each other in the Challenge Cup final in 2015 and during that match it was the Devils who took the victory, winning 2-1 in the Sheffield Arena.
Kelman acknowledged that in the Elite League playing back-to-back games is not uncommon, and the Devils even had to play a game the night before their Challenge Cup final in 2015.
"Whatever media circus they want to create over having to play the night before a game - they do it every single weekend just like nine other teams in the league do," Kelman continued.
"We are not worried about it and we are not rising to it. We are just focusing on the game.
"I don't think the Cardiff Devils are the bad guys for making them obey the rule they put in place, I think it is kind of silly."
The Devils are currently top of the Elite League standings on 71 points and will be aiming for their third Challenge Cup trophy on Sunday, after winning the cup in 2006 and 2015.
The Welsh side were runners up in the competition in 2016 after losing 1-0 against the Nottingham Panthers.
Cardiff Devils managing director Todd Kelman says the Sheffield Steelers have caused a "media frenzy" ahead of their Challenge Cup final on 5 March.