The Brazil forward has been heavily linked with a move to the Bernabeu, but is currently preparing for the second leg of Santos' Copa Libertadores final against Penarol.
"At the moment my thoughts are only on winning the Copa Libertadores," he told AS in an interview.
"My first thought is to stay here (with Santos) as well because happiness is everything, for the club, for my family, for the fans - the most important thing is to be happy."
However, the 19-year-old, who also has been mooted as a transfer target for Chelsea, wants to play in the Champions League one day.
"Of course it is (a dream), just like it is for all the players in the world," he said.
"To play in that competition is a privilege and I hope to do so one day.
"I want to play in World Cups and play in the best leagues."
Neymar came through the youth system at Santos idolising Robinho.
The two are now international team-mates and friends, and the teenager says AC Milan striker Robinho - formerly of Real Madrid and Manchester City - speaks glowingly of his time in Europe.
"He said very good things of his time in Europe, of playing in that country (Spain)," Neymar said.
But the youngster denies a move is imminent.
"I have a contract with Santos and I'm very happy here," he said.
"I believe my future belongs to God. (A move to Europe) could be tomorrow or in two or five years' time - I don't know.
"I would have to think about it with my father, with my mother - with everyone."
Source: Team Talk
Source: Team Talk