Spanish media claimed earlier this week that the Poland international is desperate to move to the Bernabeu and he has already instructed his agent to try and negotiate a deal.
However, the 29-year-old, who netted twice during Bayern's 4-0 victory over Mainz in the Bundesliga on Saturday, has now dismissed those reports.
Speaking after Saturday's match Lewandowski said: "I don't have to say anything to every bit of nonsense."
Lewandowski has now scored 82 goals in 100 Bundesliga appearances for Carlo Ancelotti's side, and he was pleased with the attacking intent his side showed during the match at the Allianz Arena.
"We had a lot of room in which to manoeuvre and were very flexible going forward, which was really fun to play in," he added.
"We were not static and created a lot of chances, which was why we won. We controlled the match from the first minute and scored four goals. Everything we had planned worked out."