Aubameyang made no secret of his desire to join the Blancos, but the Gabon international wound up staying put at Dortmund as Madrid decided not to spend big to replace the departing Alvaro Morata.
Speaking to RMC, Aubameyang admitted he was disappointed to not join the Blancos, but says he has now put the saga behind him.
"I have no dream," the 28-year-old said when asked if he still dreams of a move to Real. "I shall no longer speak of Madrid. They don't want me.
"This is not a problem. I move forward, I am well in Dortmund.
"We had an agreement with Borussia that I could leave. It didn't happen. It is a disappointment. But I'm also happy to stay."
Madrid were not the only club linked with Aubameyang, and unlike the Blancos, there were several clubs that did make offers, including AC Milan.
"Milan offered me something," Aubameyang admitted. "I was very interested by the project, [but] It did not happen for many reasons."
Aubameyang also said he met with Paris Saint-Germain chairman Nasser Al-Khelaifi, but a potential move to Paris fell through with the hiring of a new sporting director in June.
"At the beginning of June I met Nasser," Aubameyang said. "It was before Antero Henrique's arrival. And when Henrique came to PSG, they decided that they wouldn't take me."
Several Chinese clubs were also linked with a big-money move for Aubameyang, who said he was never close to making a switch to the Chinese Super League.
"China, I didn't take it seriously, it was a lack of professionalism. They delayed to send us a written offer – It was a disaster."