Baptista has been linked with Inter and Fenerbahce in recent weeks.
“This is the first interview I have given for seven months, and in that time many false things were said about me,” he told Il Corriere Dello Sport.
“Most of it was about the transfer market and my injuries. I know that the clubs [Inter and Roma] spoke, but I never said I wanted to leave.
“But, people were convinced I wanted to go, and they criticised me.
“My intention has always been to stay at Roma and this was confirmed by the coach.
“We have an extraordinary group here and we are very united.”