The 20-year-old centre-half has been heavily linked with the likes of Arsenal and Monaco on the back of an impressive showing for Brazil at the Toulon Tournament.
He admits to being flattered by the reported interest in his services, but has no intention of quitting his homeland just yet and considers talk of a summer switch to be premature.
Caio told Globo Esporte: “I am a Sao Paulo fan and I want to make history here, win titles, which is the most important thing.
“There is little point in a player looking to leave and then returning quickly having failed to establish himself.
“I want to establish myself at Sao Paulo, gain recognition and I am focused here.
“Nothing concrete has come. I want to focus on Sao Paulo and I want to know that I have played well before moving to Europe.”
Caio added: “I went (to the Toulon Tournament) determined to do my best, to show my potential. I knew that was up to me.
“The news (of interest) makes me very happy, but I have to be realistic. If I do things right on the pitch, things will work well off it.”