Neymar was linked with both Los Blancos and Barcelona this summer, but remained at the Parc des Princes.
"Any player would want to wear the Madrid shirt," the ex-Madrid and Brazil star said.
"But the Neymar story is over. He's happy in Paris and he'll be the best in the world soon."
Roberto Carlos already sees Neymar being among the world's elite.
"[Lionel] Messi, Cristiano [Ronaldo], Neymar and [Kylian] Mbappe are undoubtedly the best four in the world."