The Spain international left Barca for Germany last summer.
"I've been six months in Munich. Two and a half years ago I would never have thought I would leave Barca. Forget the rumours because I'm fine where I am," said Thiago, who also commented on Barca's season.
"Barca are playing great. Might be more direct, that does not mean it's worse, and are performing a little more effective football."