The Uruguayan has been linked with a move away from Parc des Princes this summer amid reports that he has failed to settle at the club after arriving from Napoli last summer.
Manchester United have been strongly linked with a move for Cavani at the end of the season, but the 27-year-old has dismissed the speculation over his future.
Cavani has also seen his personal life under the spotlight after divorcing his wife and he insists his private life should remain private.
"I don't know why they say I am not feeling well here in Paris, but that's not true," Cavani told A Bola.
"What we talk about in the dressing room should stay there and the private life of a football player has to remain private.
"I am feeling well in Paris and at Paris Saint-Germain."