The 31-year-old has previously expressed his desire to return to his homeland, with a move back to former club San Lorenzo called off earlier this year as the Argentine club could not afford his wages.
Having since committed his future to Newcastle until the end of the season at least, Coloccini insists that he is settled with Alan Pardew's side after a strong run of results in recent weeks.
"At the beginning of the year, due to some personal problems, I had the chance to return to Argentina," he told Marca.
"It was spoken about playing in San Lorenzo because I support that team. I am currently very happy at Newcastle - I have three more years on my contract.
"While I keep on being useful for my team on the pitch, I will keep on playing."
Coloccini is now hoping to claim a place in Argentina's World Cup squad to travel to Brazil next summer, a tournament in which he thinks his country has a good chance of enjoying success.
"We have a nice team," he said. "There are good players, very good individual players, and as a team we are working very well. We had a positive draw with the group that we are in.
"We can advance to the next stage; we are confident of getting very far."
The defender also gave his backing to fellow countryman Lionel Messi as the Barcelona star goes up against Cristiano Ronaldo and Franck Ribery for the Ballon d'Or next month.
"Leo doesn't have to demonstrate anything to anyone. I hope he has a good World Cup because I wish him to be even greater than he already is," he said.
"If it has to be given to the best player in the world, it has to be given to Messi. He is the very best ahead of the rest and he can't be compared with any player."