Rumours were rife during the summer that he spoke to Cavani about leaving Anfield for PSG while on international duty together.
When asked about the rumours, the 26-year-old confirmed: "No. He said he is happy in Paris.
"He is happy with the big club he has discovered, his team-mates and the way football is in France.
"He asked me a lot about it because it is very different from what I know in England."
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