The 25-year-old was reportedly wanted by manager Tony Mowbray on a permanent deal prior to the window closing.
The former Spain Under-21 international is happy at ONO Estadi for now and will review his situation at the end of the season.
"But I have to say it was a great honour that a club as big as Celtic were interested in me.
"The plan now is for me to finish the season with Mallorca and see what happens at the end of the season.
"Maybe Celtic will still be interested in me and I might have a chance to talk with them again."