The Red Devils have been linked with the Germany star for years and Bayern executive vice-chairman Jan-Christian Dreesen confirmed earlier this year that a €100 million offer came from Old Trafford.
While Dreesen insisted the club did not even discuss the potential sale of the attacker, Muller himself has admitted that he thought about leaving.
"There was a point, two years ago, when this was an issue, when I thought about it," he told Kicker. "But the club immediately supported me and they told me, I belonged here.
"When Bayern told me they needed me and how I am an important player, I did not have to think that much anymore."
The 27-year-old was criticised last season for poor performances in Carlo Ancelotti's first season in charge, scoring nine goals in 42 games in all competitions.
There has been speculation he could look for a move away, but Muller does not expect to leave Bayern any time soon.
"I don't have the feeling something will happen," he added. "I feel very comfortable here. My advantage is that I played my whole career in Munich.
"In contrast to other top clubs in Europe, this club is naturally grown and has a special mentality with reasonable values."
Muller, who came through Bayern's youth system, has made 400 appearances for the first team and is contracted to the club until 2021.