Los Blancos are reportedly interested in bringing Milan's mainstream midfielder.
Suso was proud of his interest in Real Madrid but insisted he was still happy at AC Milan.
The Spanish national team midfielder was reported to be Madrid's player when Milan and his rivals Inter Milan were rejected at the start of the 2018/19 season.
Suso has scored three goals in the past five games and the men of Gennaro Gattuso have climbed the Italian Serie A summit this season.
I do not think a 24-year-old will happen in the near future, despite opening up the possibility of returning to La Liga in Spain, which is being loaned from Liverpool's Almeria.
"I am proud that the best teams in the world are attracted to you when you are attracted to them. Are not you happy with who you are interested in?" Suseo said. Radio Marca.
"Leaping into one of the biggest teams in the world is always fun."
"Playing at home [Spanyol] It is always beautiful, it is now in a country like Spain, and now I feel very happy. "
"I feel important in this team, I feel very comfortable, I am happy, and I do everything well."