Off contract in June, Kepa is being linked with a Bosman move to Madrid.
He told Marca: "I am happy in Bilbao. I am quiet, I focus only on my club.
"I know people talk about me because my family and friends read the press and listen to the radio. I am obviously not blind, but I am quiet.
"Real? I'm not nervous about the rumors. I am who I am thanks to what I do and not because of what people say."