The 29-year-old, currently nursing a hamstring injury, has been heavily linked with a move away from the Spanish capital in recent times.
Benzema has no intention of leaving Madrid anytime soon, however, as he believes that joining any other team would be a backwards step in his career.
"It is the best club in the world," he told beIN Sport France. "It is a pleasure and makes me proud. The expectations are very big and every season you start from scratch. You have to work to keep yourself at the highest level.
"If you are a starter here, you do not need to go elsewhere. I think we are in one of the best stages of Real Madrid's history. The team is very strong, it's not just a matter of those who are usually the starters; the substitutes also make a difference."
Benzema, who has scored 171 goals in 330 appearances for Los Blancos since joining from Lyon in 2009, has two years left to run on his current deal.