Although the 27-year-old has started their last five games in all competitions, his future has been the subject of speculation during what has proved to be a more difficult second season in Germany under Niko Kovac.
The Bayern boss said last year that he expects James to stay permanently, but he has since warned that the attacking midfielder is playing for his future at the club, but other clubs have emerged as potential destinations. Arsenal have recently been linked to the attacking midfielder, while his father talked up the prospect of him joining Juventus in the next transfer window and insisted that "he has many offers".
A return to Madrid has also been touted recently and, while James insists his focus is on Bayern's objectives this term, he concedes the Spanish capital is still very much his home.
"I have to think hard about what I'm doing [in terms of my future]," he told Cadena SER's El Larguero. "In Madrid, I have everything: my house, people who love me.
"We will have to see what happens, but at the moment I have a contract with Bayern Munich. I just want to finish the season and we'll see what happens.
"I keep in touch with some Real Madrid players."
James joined Madrid from Monaco in 2014 and made 111 appearances in all competitions before making the switch to Bayern, where he has featured 57 times and scored 11 goals.