The Germany international midfielder was linked with the likes of Arsenal and Chelsea in the last transfer window.
A move failed to materialise, but speculation has continued to mount that the 27-year-old will seek to leave the Santiago Bernabeu in January.
However, Khedira has no plans to end his spell in the Spanish capital as he still feels valued by the European champions.
"Right now, I cannot see any reason why I would leave the club this winter," he told Kicker.
"Real Madrid is a great club to be at. This club has a place in my heart and there is absolutely no reason for me to say that I want to or have to leave.
"I get the feeling I am still wanted."
Khedira has made just four Liga appearances from the bench this season due to a combination of a hamstring injury and knee surgery.
