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. The France international claims to have caught the eye of the newly appointed Bayern boss, but he believes a move to the Allianz Arena would have had a negative impact on his international career.
"Pep sent me a message, but I told him I would rather stay with Valencia," Mathieu told reporters. "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 champion Barcelona, has made 131 appearances for Valencia since joining on a transfer from Toulouse in 2009.