The 27-year-old Spaniard has repeatedly been linked with a move away from the Liberty Stadium after scoring 22 goals last season.
"I'm not thinking about [a transfer] right now," Sky Sports News quotes him as saying.
"I'm very happy at Swansea. It's a small club, but we're in Europe and have already won a trophy, the first in the club's history."
Michu made his international debut last week during Spain's 2-1 win over Belarus in a World Cup qualifier.