The 21-year-old striker has a contract which runs until the end of next season but he has reportedly attracted a lot of interest following some impressive displays in the Scottish Premiership.
May, the Scottish Football Writers' Young Player of the Year, has no desire to leave McDiarmid Park and has already held initial talks over an extension.
"We've been speaking to the club and I want to stay here, I'm happy here. There's no reason to want to leave," he said in the Daily Record.
"I'm still developing and can feel myself improving all the time and this is the best place to do that.
"We've not spoken about figures yet but that will happen after the (Scottish Cup) final. We don't want any distractions.
"If someone wants to buy me then they'll do that regardless of my contract so that's my take on it.
"This season has been better than anything I could have imagined. If you'd told me at the start I would score 27 goals and get to the Scottish Cup final, I'd have been delighted. It's beyond anything I hoped for."
St Johnstone will face Dundee United in Saturday's final and May is determined to repay the fans for their support by inspiring the team to cup glory.
He added: "I've never seen anything like this in Perth before, the city has really got behind us and we're going to take a massive crowd to the final. We're just hoping to do it for the city and give the place something to celebrate."
Boss Tommy Wright is optimistic he will secure the services of May on an extended deal, saying: "I met Stevie's agent last week. Now we'll have to sit down and talk about the financial part of it.
"It's not done yet but we're hopeful it will be."