Khedira saw his Madrid and Germany team-mate Mesut Ozil make a deadline-day move to Arsenal, but revealed the Spanish giants did not entertain the late offer for him.
The 26-year-old had been linked with Manchester United but did not name the club when quizzed at a press conference in Munich, where he is preparing for Germany's upcoming World Cup qualifiers.
"The club turned down the offer and it was done very quickly," he said.
"It was not even an offer to talk about."
Khedira said coach Carlo Ancelotti had assured him earlier this summer that he remained a part of his plans, adding: "I had already had very good conversations with coach Ancelotti so it was clear that I would stay at Real this season."
Khedira moved to the Bernabeu from Stuttgart in 2010 and helped the capital club win the Primera Liga two seasons ago.