The Santos star has been reported by Brazilian papers to be due to sign a contract with the Spanish giants after passing a medical in Sao Paulo on Friday.
But the 19-year-old has insisted that is the furthest thing away from the truth.
"I have been sold like 30 times," Neymar is quoted as saying by Lancenet. "There is no truth to that, I am a player of Santos and I will stay here to play at the club's centenary.
"That is all speculation, there is no deal."
Neymar, however, did admitted he was at the hospital on Friday, but revealed it had nothing to do with a potential move to Madrid.
"I went to the hospital to solve a personal problem," he explained.