The Brazilian forward is rumoured to be a transfer target for Madrid, less than a year after swapping La Liga rivals Barcelona for the Parc des Princes in a £198m deal.
Al-Khelaifi insists that there is no truth to the speculation, however, telling L'Equipe. "Neymar is tired of these rumours about his future.
"His father told me that his future is in Paris, it's the Spanish media that say [Neymar is going to Madrid]. If you believe them, it's worse for you."
Neymar returned to training earlier this week following close to three months on the sidelines with an ankle injury.