The arrival of new manager Carlo Ancelotti has cast doubts over the 26-year old's future, prompting speculation linking him with a move to another European side, with Paris Saint-Germain reported to be interested in acquiring his services.
Khedira has spent three years in Madrid since joining from Stuttgart, making 126 appearances, and Neubauer says that the Germany international will remain at the La Liga club.
"Sami will play at Madrid in the upcoming season," he told BILD.
"I don't know who seems to think it's fun to spread rumours about his future. It's annoying and hurts Sami."