According to speculation in Spain, the Germany international is a player Real are looking at should Sergio Ramos leave the club.
Ramos, whose deal at Real finishes in June 2017, is a reported target of Manchester United.
“Right now I’m on holiday,” Mustafi said to German TV channel Sport 1. “But who wouldn’t be happy if Madrid were interested in you.
“There’s no player who wouldn’t be happy.
“This proves that I have played at a good level throughout the season.”
Mustafi joined Valencia last summer in an eight million euro transfer from Sampdoria and made 33 league starts while scoring four goals to help Los Che finish fourth in La Liga and qualify for the Champions League.
The 23-year-old is under contract with Valencia until June 2019 but has a buy-out clause set at 50million euros.
Mustafi’s team-mate, Nicolas Otamendi, is another defender Real are thought to be interested in acquiring.
The Argentina international is competing at the Copa America in Chile and has confirmed his wish to leave Valencia this summer.