Baptista has been linked with a move to Champions League winners AC Milan, who are looking for a new forward.
AC Milan vice-President Adriano Galliani has confirmed the Brazilian was a target for the club.
Baptista told Spanish newspaper Marca: “I am flattered that such a big club is interested in me and might want to sign me, but I am a Real Madrid player and want to win here.
“There is absolutely no chance that I will join another club.
“I have always said that I wanted to stay here to win. I spoke to new Real Coach Bernd Schuster and, although what we said is private, we clarified several issues and everything is fine.”
