The Brazil international was first linked with a surprise return to the Spanish top flight towards the end of last year and rumours have refused to go away.
Madrid will reportedly wait until the end of next season before making an approach for Neymar, who spent four campaigns with Barcelona prior to joining PSG on a five-year deal last summer.
Speaking after PSG's 3-1 defeat to Los Blancos in the first leg of their Champions League last-16 tie, the 26-year-old told reporters: "I have a contract with PSG. I am happy with my teammates and I only think about my story here.
"Nothing is decided [in this match]. There is another game at home, in front of our fans, which will be very hard, like the one in Madrid. But I hope we can do it."
Neymar has hit the ground running since his £198m world-record switch to PSG, scoring 27 times in 28 appearances and weighing in with a further 14 assists.