The Welsh attacker has long been linked with a move back to the Premier League, with the Old Trafford club the main suitors.
The 28-year-old made just 27 appearances in all competitions last season due to injuries, but remains a key role to Madrid's famous BBC attacking trio alongside Cristiano Ronaldo and Karim Benzema.
And he insists he is enjoying life in the Spanish capital. When asked if he has considered leaving, he told Marca: "No, everything has been complicated by my injury, but nothing else.
"I can still play well and when I'm at the maximum I'll give my best again. I signed a long contract at Madrid and I'm happy here.
"The truth is I didn't read anything about United's interested. As a British player, I'm always associated with a return home. The same thing happened with David Beckham and other Englishmen who came to Spain. It's nothing new.
"I'm happy playing in Madrid, logically interest is interest, but if there has been nothing concrete, no offer, then there is nothing to discuss."