The 26-year-old has been linked with a move to the Bernabeu, but insists there is currently nothing more to the Spanish side's interest and he is happy with the Serie A outfit
Goal understands the Bernabeu side are preparing a £50 million offer for the striker, after Chelsea saw a bid of £34m plus Fernando Torres rejected by the Serie A side.
And while Cavani admits the Spanish outfit would be an attractive destination, he insists he is happy to remain at San Paolo.
“Real Madrid are one of the strongest clubs in the world, but there is nothing concrete,” the striker told Corriere dello Sport.
“At the moment I do not know what my future will hold.”
While his future remains uncertain, the Uruguayan is enjoying his time with his current club.
He added: “In Napoli, they trust me. I want to play in a club that gives me confidence. I know this is true in Naples, I’m happy to be there."