Los Blancos were believed to be interested in bringing the Brazilian striker back to La Liga, particularly after the £99m sale of Cristiano Ronaldo to Juventus. However, they did release a statement last week reiterating that they were not interested in signing Neymar.
Neymar, who has voiced his discontent at playing in Ligue 1, also dashed these rumours as he committed himself to PSG for the coming year.
"I continue, I have a contract with Paris Saint-Germain," Neymar was quoted as saying by Mundo Deportivo. "I went there for a challenge, for new things and for the pursuit of objectives, and nothing has changed in my mind."
Neymar was speaking at a charity event in Sao Paulo, his first public appearance since Brazil were eliminated from the World Cup at the quarter final stage by Belgium.
He also took the opportunity to thank PSG president Nasser Al-Khelaifi and the fans of Les Parisiens for their support.
"[The media] end up speculating too much. That subject bores me, but everyone knows how fond I am of the president, of the country and of the fans," Neymar said.
He also said that he expected another "successful" campaign with the French champions, who won the domestic treble of Ligue 1, Coupe de France and Coupe de la Ligue last season.
He praised his "high quality" teammates at the Parc des Princes, including Kylian Mbappe, whom he congratulated for his role in helping France to win the World Cup.
PSG's first competitive game of the season is the Trophée des Champions (French Super Cup) against Monaco on August 4.