Mata is currently preparing for Spain's Euro Under-21 Championship campaign that kicks off on Sunday evening with a crunch game against England.
The 23-year-old is reportedly being chased by a host of Premier League clubs including Chelsea and Manchester City, but the Spain international wants to remain at the Mestalla.
"Being here [in Denmark] isolates us all from speculation. If we were on holiday we would probably hear more. The reality is that I am happy at Valencia. It took me four years to break through but now I can play regularly in the first-team and for Spain," he is quoted as saying by AS.
"I am putting in a lot of effort to come [to Denmark]. I enjoy playing here as the oldest player. This is not a step down or a holiday for me but a different challenge, which will improve me as a footballer."
When asked which players he felt stood out ahead of the tournament in Denmark, Mata was not short of names and mentioned Manchester United target David de Gea as a player who is set to make an impression in Scandinavia.
"There are many. Midfielders such as Thiago [Alcantara], Ander [Herrera] and [Dani] Parejo as well as Iker Muniain, who is 18 but plays like he is 30," Mata enthused.
"There is also the strong [David] De Gea and Adrian, who is a complete player."