Madrid won La Liga last season and the Copa del Rey the season before, and having fallen eight points behind Barcelona in the league already this campaign, there are suggestions that Los Blancos could prioritise the Champions League in 2012-13.
"Thank God I have always got to manage the greatest teams, therefore I cannot accept discarding competitions," he said. "No way can I accept this.
"I cannot have my team fighting for a Champions League final spot being 15 points from the top in La Liga, so of course I won't gift the Copa del Rey to anyone so we can be more rested for La Liga three days later.
"We have three competitions at stake and we'll make the most of them. That's why we now have the Supercopa there amongst our titles."
Real Madrid are at Borussia Dortmund for their third Group D fixture in the Champions League on Wednesday.