Borussia Dortmund striker Aubameyang has been the subject of transfer speculation for several years and this summer was linked with moves to China and AC Milan.
The Gabon international has spoken in the past about wanting to play for Madrid to fulfil the wishes a promise he made to his grandfather.
But Karim Benzema signed a new deal this week extending his contract until 2021 and Aubameyang has revealed the Champions League winners are not interested in him.
He told French radio station RMC: “I have no dream. I shall no longer speak of Madrid.
“They don’t want me. This is not a problem. I move on. I am well in Dortmund.
“I feel that the clubs don’t want to go too far [with me]. I’m inevitably frustrated.
“We had an agreement with Borussia that I could leave. It didn’t happen. It is a disappointment. But I’m also happy to stay.”
Aubameyang also opened up on Ousmane Dembele’s exit to Barcelona and expressed his disappointment felt by the Dortmund squad.
He said: “Everyone was a little hurt by his departure. He had an agreement with the club that if Barcelona came, they wouldn’t stop him from leaving.
“Having said that, everyone said what he did wasn’t the best. I think that’s true in the sense he just had to talk to Dortmund to find out whether or not they were going to let him leave.
“If they had told him no, I would have been able to understand what he did. I think he did it a little early, but he’s a friend, so I’m not going to hammer him!
“I understand him completely because it’s his dream. He’s fulfilled it now and I’m very happy for him.”
