Leonardo has been linked with Marco Branca's job at Inter.
"I'm happy wherever I find myself," he told RMC. "I've never left a country for personal reasons.
"I decided to take up this challenge in Paris and I would like that to continue," added the PSG official.
"Inter? I am in touch with a lot of clubs, especially those with which I have worked for in the past.
"I have an excellent relationship with President Massimo Moratti, but I haven't spoken about a return to the Nerazzurri."