Heinze joined Roma from Olympique Marseille in the summer but the former Manchester United and Real Madrid full-back was also linked with a move to Edy Reja's side.
"I'm just interested in the points, I want to win," Heinze told Corriere dello Sport.
"We know that the derby is played in a particular context, but for us the three points is the main [thing]. Winning is the goal."
He added: "I did not refuse to go to Lazio. Personally, I have not had any contact with them."
"When I realised how real the possibility of playing in Rome was, I just wanted to go to Roma.
"I'm fine, in a beautiful city. I'm fortunate to have played in many major championships. The last dream I had was to come here and play in Italy.
"I am very happy to be in Rome. I'm settling into this new football style and in this new country with new customs and traditions."
Roma legend Francesco Totti is a major doubt for the derby clash because of a thigh injury.