The club's president Sheik Al Khelaifi has dismissed the stories.
"No, that's not true. If Cristiano is sad it's not because we've been in touch with him," the PSG supremo told Marca.
"If we were interested we would speak to Madrid first.
"I'm not going to talk about other clubs' players. I respect Madrid and Florentino [Perez] is a great president. It's too soon to talk about Ronaldo. He's very professional."