The Spaniard, who has made his international debut whilst in South Wales, has long been linked with a number of Premier League clubs.
Michu, who has scored just twice this season, admits that he still hopes to play in the biggest cup competition in the world.
"Every player dreams about playing in big teams; clubs that play in the Champions League and fight for titles and I am no different," Michu told Marca.
"But it is true that I feel very good here, the boss gives me a lot of confidence and I'm surrounded by Spaniards.
"I am very pleased and very happy at Swansea but it is obvious that every player wants to grow up and see how far you can go."
Michu admits that a move back to Spain is not really too high on his agenda.
"Right now I'm happy abroad. I really like the Premier League, I'm happy here."