Neymar and PSG suffered a 3-1 loss to Madrid in the first leg of their Champions League last-16 tie at the Santiago Bernabeu on Wednesday.
But, speaking after the first leg, Neymar said he was happy at PSG, where he is contracted until 2022.
"I have a contract with PSG. I am happy with my team-mates and I only think about my story here," he told reporters, via Sport .
PSG president Nasser Al-Khelaifi was also insistent that his star man would not be leaving in the summer, claiming that the 26-year-old would '100 per cent' still be with the French side next season .
However, PSG are facing a huge battle to advance to the Champions League quarter-finals after their first-leg loss against the twice-defending champions.
But Neymar hopes they can deliver in the return leg in Paris on March 6.
The Brazilian was part of the Barcelona team who overturned a 4-0 first-leg thrashing by PSG with a 6-1 win in the second leg of the round of 16 to move on.
"It's hard now, but nothing's impossible," he said on Esporte Interativo. "Last year I went through much worse [at Barcelona] and we managed to overcome. I hope we can have a better game so we can advance"
The Parisians face two Ligue 1 matches prior to their second clash with Madrid, but the club hold a 12-point lead at the top of the league table.