The 21-year-old striker has been a regular headline-maker since his arrival at the Etihad Stadium from Inter Milan in 2010, which has caused some reports to suggest that the Italian is expected to leave the Premier League challengers in the summer.
Despite a number of public spats with Mancini, Balotelli has insisted that the 47-year-old has "always" supported him.
"My future? Why do you always talk of Inter and Milan for me? I'm at City and I have no intention of changing shirt," Balotelli told La Gazzetta dello Sport.
"First of all I need to improve as a player. I am lucky to work with Mancini. He's one of the best coaches in the world, maybe the best.
"After my red card against Arsenal he feared a long ban so he spoke about me with so harsh words. But we have explained things to each other. I know he believes in me, as he always has done."
The controversial frontman is currently serving a three-match ban.