The Spain international recently admitted he would be open to moving to England, having previously played down reports linking him with Premier League champions Manchester City.
It has also been reported that Barcelona are keen on the forward, but Llorente claims he has no great desire to leave San Mames this summer.
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"But I am happy because I am already at a great club in Athletic."
Meanwhile, Llorente, part of Spain's 23-man squad for Euro 2012, did not see any game time in his country's tournament opener against Italy but remains confident he can force his way into Vicente del Bosque's reckoning.
"I always hope," he explained. "We all hope to get an opportunity - that is what we are working for."
It remains to be seen if Llorente will see any action in La Roja's crucial Group C clash with Republic of Ireland on Thursday, a game which he acknowledges will be difficult.
"We will try to play a great game, but it will not be easy because Ireland always gives their all," he mused.
"They are aggressive and the game will probably take a lot out of us. But [despite the draw against Italy] the atmosphere in the squad is still great; so far very relaxed.
"We are very calm, working well and now looking forward to the game and hopefully getting our first win, which would give us great confidence."
Spain's meeting with Giovanni Trapattoni's Ireland gets under way in Gdansk at 19.45BST.