The Argentina striker has often been linked with a move to the Santiago Bernabeu and recent reports have suggested Madrid will try to sign him when the transfer window opens in January.
Icardi, though, insists he is not thinking about leaving San Siro.
"I don't think this is the right time, given the results," he told Corriere dello Sport when asked about Madrid's reported interest. "And I'm fine where I am.
"I've always made my goals clear: first, to return to the Champions League with Inter, and we've done that. Second, to win something with Inter. The [sporting] director [Piero Ausilio] has made a good team despite not being able to spend a lot."
Icardi's contract expires in 2021 and Ausilio claimed in October that he expected the 25-year-old to extend his deal.
The former Sampdoria man is in no hurry to thrash out new terms, however, saying: "When the time comes, we'll renew. There's time."
5 - Each of the last five Serie A goals scored by Inter against AC Milan have been netted by Mauro #Icardi, a new record of consecutive goals for an Inter's player in the Milan Derby since 1929/30. Legend.#InterMilan pic.twitter.com/kWaJZ2QLpf— OptaPaolo (@OptaPaolo) 22 October 2018
Icardi has scored seven goals in 10 Serie A appearances this season but has been criticised at times for failing to be more involved in Inter's build-up play.
However, he sees no problem with focusing his efforts on finding the net.
"The attacker has to score, the midfielder has to play, the defender has to defend, and the goalkeeper has to save," he said.
"People talk too much about my involvement in the game, which many say is poor, not enough, but I don't give a damn about what the journalists and critics say. I know only one way to help my team-mates and the coach, and that's to put it in the net.
"I have always lived for goals. Even as a child, I scored so many. I have the ability to score them; I have to score them. How would you call it? A mission? Well, this is my mission."