Quotes emerged in Sport Bild of the attacking midfielder saying: "Bayern Munich is as big a club as Real Madrid, if not even bigger... I looked at the squad and thought, 'there are just as many stars here as at Real, the quality is the same'."
However, the 26-year-old has since taken to Twitter to deny making the statements.
"That's false, I didn't say that," he tweeted. "Total respect for Madrid! Please, leave me alone, I've gone from Spain now. Thank you."
James made 33 appearances for Madrid in all competitions last season, scoring 11 goals. He is yet to open his account for Bayern during their pre-season campaign, but featured for the full 90 minutes in Tuesday's 3-2 win over Chelsea.