The Argentina international has stressed that he feels fine at the Blancos, and was very pleased with his side reaching the quarter-finals of the Champions League
The Argentine is continually being linked with a move away from the Spanish capital, and his agent revealed earlier this month that they are open to talks with Juventus later in the season.
Nevertheless, Higuain is happy with life at the Santiago Bernabeu for now.
"I was never worried about my future. I'm at ease and my mind is set on what remains of the season," Higuain was quoted as saying on the official Madrid website.
The striker then looked back on his side's 4-1 Champions League round of 16 second-leg win over CSKA Moscow on Wednesday, and was pleased with Madrid's progress to the quarter-finals.
"I'm happy to reach the next round, and also because I scored in an important game. I'm happy for the team, for my team-mates and for reaching the quarter-finals, which is what matters.
"We'll see who our opponents are in the next round, but in order to win the title you have to defeat every team."
The draws for the last eight and semi-finals take place in Nyon this Friday at 11.45CET.