The Colombian stresses that he is under contract at Atletico Madrid, despite rumours that the principality club have sensationally secured his signature for a summer move
Despite interest from Chelsea and Manchester City, the French club's goalkeeper, Danijel Subasic, has stated that there is a 90 per cent chance that the deal will go through unless los Blancos step in.
"I don't know anything, I'm only thinking about Atletico Madrid and I'm not involved with any of this speculation," Falcao told reporters.
"The media have put me in half of Europe: Manchester United, Real Madrid ... they also said that after the  Europa League final in Bucharest, saying that if we didn't make the Champions League I would be on my way out.
"I just don't know what to think any more; the only thing I do know is that I'm under contract at Atletico. Everything else is speculation."
Looking ahead to the clash with Madrid, Falcao says that he is unfazed by Jose Mourinho's side's status as favourites.
"I don't really read the papers but I presume Real Madrid have been labelled as favourites because of the players they have and their budget," he added. "We work within our possibilities and with the belief we have in ourselves. We're not bothered if they're the favourites.
"The more finals you play, the more you enjoy it. They are always very tense occasions but when you have more experience you notice more things. You have to experience these moments and enjoy them."