The Spaniard initially struggled to settle at United following his arrival from Atletico Madrid in 2011 but has since established himself as one of the best goalkeepers in England.
De Gea was named in the Premier League team of the season after United's title success but has been linked with a move back to Spain.
With Barcelona set to sell Victor Valdes this summer - possibly to Monaco - De Gea has been mentioned as a possible target.
But he said: "That would be very difficult. I am very happy at United. Things are going really well, better every day. I am very happy."
Meanwhile, De Gea hopes striker Wayne Rooney can sort his future out after telling outgoing United manager Sir Alex Ferguson he wants a move.
De Gea added on El Larguero: "He looks fine to me, happy. We do not know if he will go, but we hope he stays. He is a very important player for us."