The Spaniard has seen his future at the Welsh outfit subjected to some doubt as of late, with Arsenal among those rumoured to be considering a swoop for the striker.
"Every player dreams about playing in big teams, clubs who play in the Champions League and fight for titles, and I am no different," Marca quotes him as saying.
"But it is true that I feel very good here, the boss (Michael Laudrup) gives me a lot of confidence and I'm surrounded by Spaniards.
"I am very pleased and very happy at Swansea but it is obvious that every player wants to grow up and see how far you can go."
Michu was one of the Premier League's success stories last season, marking his maiden year in England with 18 goals in the top flight.
However, the former Rayo Vallecano marksman has struggled to replicate his form of last year, netting just twice in 11 appearances this term.