The current world champion made the revelation during an interview with RMC.
"I didn't listen to it much. I was 100 percent committed to my club and also had just renewed my contract," he said.
"My agent told me and as soon as he said Madrid were interested I said I couldn't do it.
"Atletico are my city, my club, they have given me everything.
"I am an honest person and I couldn't go to Madrid."