The 23-year-old has been linked with moves to Manchester United and Paris Saint-Germain in recent weeks, but has now revealed that he is happy in Spain.
"[Transfer speculation] is an issue I don't involve myself in," Feghouli told Marca. "I'm better on the pitch and I leave it to my agents, who do it very well.
"I have everyone's support [at Valencia] and I'm very pleased. I want to stay here for a long time."
Los Che signed Feghouli from French side Grenoble in 2010.