West Ham and Leicester were among the clubs who considered an approach for the German, who instead chose to sign a £2.5million-a-year contract extension to commit him to staying in West Yorkshire until 2021.
Wagner said: "I really like the people at this club, and that's one of the reasons I've stayed here.
"But there is the feeling as well that we are not ready. We are still on our way and there's a feeling that this club is still in progression.
"Maybe there are bigger clubs and bigger names out there and other exciting situations which could be in front of you. But I still have the feeling that I'm here at the right place.
“Everybody has given me that welcoming feeling in the last three years – and they are convinced we are on the right path."