The 23-year-old became the world's most expensive keeper after Chelsea paid Athletic Bilbao £72 million (€80m/$92m) for his signature , with Thibaut Courtois leaving for Madrid.
Courtois said it would be "fantastic" if Hazard joined him at the Santiago Bernabeu when he was presented to the media on Wednesday, but Kepa is keen for the Belgium attacker to stay put.
"I always like to have the best players in my team," he said at his first news conference since joining the Premier League side.
"For him [Hazard] this is a personal situation and I'm not sure what he'll decide but I would very much like the best players around."
On the record-breaking fee paid for his services, Kepa added: "I don't really think about the price. It's not on my mind.
"I'm really happy to be here and I'll put everything into it to repay the trust they've shown in me.
"The only pressure I experience is the pressure I put on myself. I demand a lot from myself."
Kepa anticipates a smooth integration into Maurizio Sarri's system having received positive feedback from Pepe Reina, who played under the Italian at Napoli.
"I will be able to adapt and I find Sarri's style very attractive," said the Spaniard.
"I have references from players like Pepe Reina at Napoli who knows him and was very positive.
"Maurizio's style is not unlike the Spanish national team. It won't be a problem, playing with him."
The Spain international was aware Chelsea had made "prior offers" to try to pry him away from Bilbao but explained that Athletic had not taken an interest until recently.
"I came back from my holiday on the 23rd [of July] and a few days into my training I knew about Chelsea's interest in me," said Kepa.
"There had been prior offers from Chelsea but Athletic doesn't usually take an interest in this sort of transfer.
"I had been aware of their interest for a few weeks."