Laudrup this week won 72 percent of the vote in a poll held by Spanish paper AS asking fans who they would like to see manage Real Madrid.
The former Denmark international won the Spanish title with the club in 1995 after arriving from Barcelona with which he had won four consecutive titles as well as the 1992 European Cup.
"I have gone up to Michael and said 'stay with us now we are in Europe'," Michu revealed after the match. "The gaffer here has done great in his first season. I know other people will want him. He is really good, doing really well and maybe he can go with another club, but I hope he will stay here.
"We are growing up really fast and it is always difficult for a club of our size to win a trophy. But I think now we are going to play in Europe we can bring in some very good players and can be a stronger team next season."
Michu has had a huge impact at the club, scoring 21 goals in all competitions after Laudrup signed him for the Welsh side in the summer, and he grabbed the Swans' second goal in the comfortable 5-0 win. However, he believed the most important step was January’s two-leg semifinal win over Chelsea.
"We scored five, which is never easy to do. It was a great performance because Bradford have been very impressive in this competition," he commented. "But the most important game for us was against Chelsea in the semifinal. We are here because of the way we played at Stamford Bridge."