But the former Porto midfielder, who signed a one-year extension to his deal at the Weserstadion earlier this season, is under contract until 2011.
He told Spanish radio station Onda Cero: "If someone wants to buy Diego, they have to kill me first. Diego will only leave Werder over my dead body.
"No one has rang me from Madrid - neither regarding Diego nor any other Werder players.
"Diego is not for sale. He has a contract with us until 2011 and is the most important player in our team."