The 32-year-old was strongly linked with a move to Italian giants Inter Milan after the World Cup.
But the UEFA Men’s Player of the Year 2017/18 insists he is happy at the Bernabeu.
When asked if he was close to leaving the Spanish side over the summer, he said: “No, I am at the best club in the world, where I want to be. I am very happy to be here and nothing else. I want to continue working and doing things well as I have done in the last six years.”