Norwich and Stoke were both linked with Davies and up until the last day of the transfer window there were question marks over his Blues future.
But Davies believes that he did not let the speculation get to him.
"By my performances, I hope I showed that I got my head down and have been concentrating on Blues and not outside activity," he told the Birmingham Mail.
Davies admits January was tough for him and a number of people around the club.
"It was difficult, just because you were sitting there and you were not told by the manager, but basically it was due to the situation of the club," he said.
"We knew only certain players were going to demand a fee.
"At the time, it was myself Jack Butland, Marlon King who were going to earn a fee for the club to stay afloat.
"Jack was the marquee signing anyone could get and probably after that it was myself and Marlon.
"We were ready to go, I guess, but we were sort of waiting by the phone because we didn't know what was going to happen one way or the other.
"Obviously the club managed to sell Jack and when they did that we were pretty confident we were going to be staying because we knew they had enough money then.
"And it was just heads down and get on with the rest of the season."
Davies is already being linked with a summer move away from St Andrew's with newly-promoted Hull City strongly linked with an approach.