The midfielder, who joined the club last summer, has been linked to the likes of Manchester United, Barcelona and Manchester City.
The 24-year-old told Bild: "BVB have absolutely no reason to worry about me leaving the club. I am feeling very well at Dortmund.
"I don't think making the final last season was a sensation. We simply played our own game and our opponents couldn't cope with it.
"We are well prepared for the new season and are brimming with confidence. We also gained experience, so why wouldn't we be able to make it to the final again?"
Reus scored 19 goals in all competitions for the club last season.