The 28-year-old has made clear in the past that he would love to one day represent Los Blancos, who have showed a rumoured interest in the past.
Aubameyang has now conceded that he is unlikely to join the Spanish giants and will instead remain at Dortmund, however, which has left him 'frustrated and disappointed'.
"I have no dream. I shall no longer speak of Madrid. They don't want me. This is not a problem. I move on. I am well in Dortmund," he told RMC.
"I feel that the clubs don't want to go too far [with me]. I'm inevitably frustrated. We had an agreement with Borussia that I could leave. It didn't happen. It is a disappointment. But I'm also happy to stay."
Aubameyang also revealed that he met with Paris Saint-Germain chiefs in the summer, only for a change of sporting director to kill the proposed transfer, while AC Milan went public with their interest.
"At the beginning of June I met Nasser [Al-Khelaifi]," he added. "It was before Antero Henrique's arrival. And when Henrique came to PSG, they decided that they wouldn't take me. Milan offered me something. I was very interested by the project. It did not happen for many reasons."
Gabon international Aubameyang has ruled out joining a Chinese Super League club, meanwhile, as they 'lack professionalism'.