The 30-year-old has been linked with a hosts of clubs, including Premier League outfit Manchester City.
"I'm a professional. They left a lot of things at the end of last season but I have a contract to fulfill," he told reporters.
"I'm talking to the president of Madrid and my representatives to see what will happen. I have a contract, I love the club and I have great affection for the people."
Pepe joined Madrid in 2007 from Porto for a reported £25m.