Davies was the subject of bids from Wolverhampton Wanderers and Norwich City during the January transfer window, Reading were keen for a while and Blackburn Rovers and Stoke City also expressed late interest.
"I can't lie to you or anyone, I want to play in the Premier League and it would be wrong if I said I didn't," he admitted to the Birmingham Mail.
"The club stance in January, we were told we had to sell someone and I was always relaxed about it.
"I knew Jack Butland's move was imminent and I wouldn't have been sold anyway. I didn't worry myself too much.
"When things happen at the last minute you never know, but I was always concentrating on here."