The 32-year-old emerged as a surprise star in the Malaga side that was bankrolled to the UEFA Champions League, and is now one of their key players in a squad since depleted in the face of financial turmoil.
Manchester City, managed by former Malaga boss Manuel Pellegrini, have been linked with a move for Caballero amid doubts over Joe Hart's performances this term.
And the Argentine shot-stopper has conceded he will consider his future if an offer arrives, although will not let any speculation detract him from his playing duties..
"The rumours are growing, but it's not my business," the goalkeeper told Ole.
"I will think it over if someone calls me, or one of my representatives, but for now, all I will think about is playing for Malaga."
Caballero moved to La Rosaleda from Elche in 2011 and has gone on to make 112 appearances for the Andalusian club.
