The 25-year-old has recently been strongly linked with the likes of Galatasaray, Manchester United, Arsenal and Tottenham.
“I understand that the club is strengthening and they are precise in what they do,” Di Maria is quoted by AS.
“But I signed up to 2018 just a year ago and my desire is to stay in the Bernabeu.”
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Since Guus Hiddink arrived at the helm, Chelsea have improved considerably after a tricky start to the campaign.
Newcastle United are staring down the barrel of relegation to the Championship for the second time in the past eight years.