The Ligue 1 club's captain was the subject of intense speculation throughout the recent transfer window, with Napoli thought to be his most likely destination.
However, according to reports, Lyon president Jean-Michel Aulas cancelled a €17 million (£14m) deal at the last minute after changing his mind about letting the 24-year-old leave.
Midfielder Gonalons confessed that he did feel some initial disappointment at not being allowed to join Rafael Benitez's side, but also reaffirmed his commitment to Lyon, where he came through the youth system.
He told RMC Sport: "What happened in the last window affected me a little, but not that much.
"It's a pleasure to be linked with big clubs like Napoli, but I don't regret staying here at Lyon.
"It's always difficult to start at a new club in the middle of the season anyway."
Gonalons was also coy on whether or not he will seek a move away from Stade Gerland at the end of the season.
He added: "Will I move in the summer? I can’t answer that now. We'll just have to wait and see what happens."
