He would love to stay and finish the job he believes he is doing in reshaping the club.
Benitez poured scorn on rumours he would like to replace Jose Mourinho at the Bernabeu.
He said: "Not me. Why on me? I finish my contract in June. I am concentrating on my job and I finish my contract at the end of the season.
"I will try to do my best. That's my job. I was asked in Spain about Real Madrid but I didn't talk about them. I will worry about myself.
"I would never talk about Real Madrid out of respect because they have a manager who is under contract."