The 42-year-old played for the Rojiblancos and after being appointed the club's coach in December last year, led them to Europa League success in the 2011-12 season.
"I would never coach Real Madrid because I am sentimental about the old things," he told Rock and Closs. "I must be mad but it lives in my heart what I feel for this football club.
"I have a contract until the end of the season and if you know me, then you know I go on feelings.
"At the moment I feel good and I hope we can continue game by game, achieving what I have always wanted for Atletico."
Atletico have made an unbeaten start to this season's La Liga campaign and are currently second behind Barcelona in the table on goal difference.