The Uruguayan international has been in impressive form since returning from a 10-match suspension for biting Branislav Ivanovic last season, and has rubbished reports that he is set for a move to the La Liga club.
"Absolutely nothing at all," he told Uruguayan radio station Sport 890 when asked if he was aware of any interest from Madrid.
"In the team we are all really excited, looking forward and looking forward to a good season.
"The Premier League is the best league there is. The stadiums, the atmosphere and the fans make football here so entertaining."
Suarez has scored six goals in five Premier League matches for Liverpool this season.