The youngster is refusing to talk about leaving the club until the end of the season.
The 22-year-old winger has been linked with Chelsea, Manchester United, Manchester City and Inter Milan.
“I am very happy and perhaps I have having the best moments I have had as a player,” said Di Maria.
“My work with Benfica is good and my family are settled in Lisbon, and I am dreaming of titles and hopefully that is what will happen in the next few months.
“My head is with Benfica and I will not speak about my possible exit until the end of the season.”
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Chelsea have struggled to build momentum in the opening stages of the campaign and are currently looking over their shoulders at the relegation zone.
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