Michu has made a huge impact since moving from Rayo Vallecano in the summer, scoring 12 Premier League goals.
His form has seen him linked with a possible quick-fire move in January, with Atletico Madrid one of the clubs mentioned but the 26-year-old insists he is not thinking about leaving the Liberty Stadium.
"Right now I'm happy, playing almost every minute and I'm very happy," he told Radio Marca.
"It is always nice that you get talked about with teams like Atletico Madrid, one of the largest in Spain, but now I am very happy in Swansea."
It has even been suggested that, with the likes of Fernando Llorente and Fernando Torres struggling for form in recent months, Michu could be in line for a Spanish call-up and Vicente del Bosque admitted this week he was looking at him given his goalscoring record.
"If that call comes, fine, and if not, then I just stay the same," he insisted.
"By now to have 12 goals is great, but above all I am enjoying what I am doing in Swansea. But here you have to battle as nobody gives you anything."
Swansea play Middlesbrough in the Capital One Cup on Wednesday and he admits he would love to play at Wembley.
He added: "Why can we not be there at the end? Hopefully, it would be nice to be at Wembley."