The Frenchman has been linked heavily with a move to Chelsea.
But Leicester are holding out for a world-record fee as Fofana has five years remaining on his contract.
Speaking to the Daily Telegraph as rumours continue to swirl, Fofana said: "Leicester is a family and I have felt that from the first day. I have always felt like a native of Leicester.
"It's a big club and an institution but everyone has time for each other and understands. We are all brothers, sisters and cousins."