Di Maria's future at Real has been the subject for the last few months since the arrival of Gareth Bale in his world-record move from Tottenham in the summer.
Tottenham, Arsenal and Monaco have all been linked with a move for the Argentina international, but Di Maria insists he is happy to stay at Real.
Di Maria, who scored in Real's 3-2 win over Valencia on Sunday, also dismissed claims that he asked for a new contract at the Bernabeu.
"I'm happy at Real Madrid," the 25-year-old told AS. "I have never asked for a (contract) renewal. A player who does not play is not going to ask for a renewal.
"My head is in Madrid. You (journalists) said that I was going to Tottenham. You know where this information came from."
Di Maria also admitted he expected to lose his place in Carlo Ancelotti's side to Bale due to the amount of money Real spent on signing the Welshman.
"In the summer, they wanted to get rid of me the whole time," added Di Maria.
"I knew a 100 million euro player was coming, and it was normal that he would play."