The 26-year old has been linked with a switch to Old Trafford throughout the summer, while Barcelona are also believed to have been keeping tabs on the former Real Madrid man.
Garay, who joined from Real Madrid in 2011, has two years remaining on his contract with Benfica and the Argentina international says he is content with his current club.
"I am under contract with Benfica and I am very happy here," he told Portuguese newspaper A Bola.
Benfica team-mate Oscar Cardozo has also been linked with an exit this summer, but Garay says that the striker is just carrying on as normal.
"Cardozo has been training with us and we received him very well, he is another player helping us."