Di Maria has been strongly linked with a switch to Tottenham as part of a deal to bring Gareth Bale to the Santiago Bernabeu, but says he will definitely not be leaving the Spanish capital.
"I'm staying in Madrid, because I have three years left on my contract and I'm very happy here,” the 25-year-old told journalists following the side’s 3-0 friendly win over Inter.
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Manchester City have also been credited with an interest in Pepe, 30, with Manuel Pellegrini keen to strengthen his backline, though the Portuguese claims the thought of a transfer has not crossed his mind after praising new boss Carlo Ancelotti.
“I have signed a contract with Madrid, my future is an issue for the president," he said. “I just train hard and try to give my best for the team. I am ready to fight for my place.”
“The coach is very close to the squad, and that's a good sign. He has great affection for the players. He is also great tactically and that is helping us a lot.
“The most important thing for us is to start with a win. We are just thinking about the first three points.”
Pepe lost his place in the starting XI last season after the emergence of Raphael Varane as Jose Mourinho's first choice centre-back, but with the coach having left the club and the Frenchman injured, he could have the opportunity to win back his starting berth.