The French defender has been linked with a move to the Spanish capital on a number of occasions this summer but Lille's president, Michel Seydoux, has revealed that they have not received an approach from Madrid.
Seydoux said: "We have not been approached. Anyway, Mathieu really wants to play Champions League with us."
Debuchy was rumoured to be a target for Newcastle United for the majority of the transfer window but the 26-year-old is believed to be keen to play Champions League football with his current club this season.
Lille have been drawn in Group F of the competition alongside Bayern Munich, Vallencia and BATE Borisov.