Authors:Mesa et alAbstract:The recent discovery of an earth-like planet around Proxima Centauri has drawn much attention to this star and its environment. We performed a series of observations of Proxima Centauri using SPHERE, the planet finder instrument installed at the ESO Very Large Telescope UT3, using its near infrared modules, IRDIS and IFS. No planet was directly detected but we set upper limits on the mass up to 7 au exploiting the AMES-COND models. Our IFS observations reveal that no planet more massive than ~6-7 M Jup can be present within 1 au. The dual band imaging camera IRDIS also enables us to probe larger separations than the other techniques like the radial velocity or astrometry. We obtained mass limits of the order of 4 M Jup at separations of 2 au or larger representing the most stringent mass limits at separations larger than 5 au available at the moment. We also did an attempt to estimate the radius of possible planets around Proxima using the reflected light. Since the residual noise for this observations are dominated by photon noise and thermal background, longer exposures in good observing conditions could further improve the achievable contrast limit.