Alaba's father and agent, George, suggested earlier this month that Madrid are "really interested" in signing the versatile Austria international.
But Alaba, who can play at left-back or in midfield, suggested his father's comments may have been overblown.
"For now there is nothing concrete," said Alaba. "I know that in football everything can go very quickly.
"But, for now, I am focused on the national team and after that, pre-season in Munich.
"I feel very, very good in Munich and I still have things to do there."