The 27-year-old has scored 22 goals in his first season in England, having signed from Spanish side Real Vallecano for £2.2m last summer, making him arguably the bargain buy of the campaign.
Michu's form has led to rumours he may leave the Liberty Stadium but the player himself is keen to stay and play for Michael Laudrup's side in the Europa League next season.
"I've seen articles on the internet, but I'm very happy here," he told the South Wales Evening Post.
"I only think about playing next Sunday against Fulham. I'm happy on the pitch and in this team.
"Swansea fans do not need to worry. I'm very interested (in having the chance) to play in Europe. We have to play two rounds before the group stage, but we're not worried about that.
"We start on August 1, but it's good for us because we will play a lot of official games before the league season starts. It will be the first time in Europe for me.
"I am very happy at the club and I want to say thank you to everyone at the club because we have all enjoyed this season."
Michu has scored 18 Premier League goals this season, with Robin van Persie, Luis Suarez, Gareth Bale and Christian Benteke the only players to have netted more times in the top-flight this campaign and the Spaniard admits he had no idea how well things would pan out.
"I've scored goals, we won a title and we've played well all throughout the season," he added. "I never thought it would go so well."
Midfielder Mark Gower, meanwhile, has left the Swans a month early after reaching a mutual agreement to end his five-year spell with the south Wales club.
The 34-year-old made 145 appearances for Swansea following his free transfer from Southend in June 2008, scoring three goals but had a spell on loan at Charlton earlier this season.