The two have been tipped to leave the Santiago Bernabeu this summer but insist they have no intention of moving.
Di Maria has been strongly linked with a switch to Tottenham as part of a deal to bring Gareth Bale to the Santiago Bernabeu, but he says he will definitely not be leaving the Spanish capital.
"I'm staying in Madrid, because I have three years left on his contract and I'm very happy here,” the 25-year-old Di Maria told journalists following the side’s 3-0 friendly win over Inter. "Also in [manager Carlo Ancelotti’s] selection, I have been playing more frequently in the middle. I’m used to and I feel comfortable playing there."
Manchester City has also been credited with an interest in Pepe, 30, with Manuel Pellegrini keen to strengthen his back line. Pepe claims the thought of a transfer has not crossed his mind after praising new boss Ancelotti, though.
“I have signed a contract with Madrid, my future is an issue for the president," Pepe said. “I just train hard and try to give my best for the team. I am ready to fight for my place.
“The coach is very close to the squad, and that's a good sign. He has great affection for the players. He is also great tactically and that is helping us a lot.
“The most important thing for us is to start with a win. We are just thinking about the first three points.”
Pepe lost his place in the starting XI last season after the emergence of Raphael Varane as Jose Mourinho's first choice center back, but with Mourinho having left the club and the Frenchman injured, Pepe could have the opportunity to win back his starting berth.