The 29-year-old claims he declined the opportunity to move to the Allianz Arena because he feared he would miss next summer's World Cup with France
The 29-year-old, who recently inked a contract extension until 2017 with los Che, had been linked with a move away from the club in recent weeks following an impressive individual season last term.
And the France international claims to have caught the eye of the newly-appointed Bavarians boss, but believes a move to the Allianz Arena would have had a negative impact on his international career.
He told reporters: "Pep sent me a message but I told him I would rather stay with Valencia.
"Bayern are very good, but I am thinking about the World Cup and with Valencia I have more opportunities to play."
Mathieu, who has been previously linked with Liga champions Barcelona, has made 131 appearances for Valencia since joining on a bosman from Toulouse in 2009.