“I still have not thought about it,” the 34-year-old told The Sun. “I know that they did ask this question but I cannot answer.
“I faced a new challenge, to play in the three most competitive leagues was something I wanted. Our objectives were all met. Get to the Premier League, play and be loved in a new team.”
Cambiasso joined Leicester on a one-year contract in the summer of 2014 after leaving Italian giants Inter Milan.
The former River Plate midfielder was one of the best and most influential players at Leicester and was a key figure in their battle for survival in the recently concluded 2014-15 season.
The 34-year-old scored five goals and created 36 chances in 31 appearances in the Premier League.
Cambiasso had a pass accuracy of 73% and a shot accuracy of 32%, and won 36 headers, 14 dribbles and 43 tackles.
According to a report in The Sun last week, West Ham are interested in securing the Argentine’s services this summer.
It was reported by the British tabloid that Cambiasso is “wanted as part of new Hammers boss Slaven Bilic’s cultural revolution”, and that contact has been made with the midfielder’s agent.
The Sun have also claimed that Argentine outfit Independiente are interested in signing their former player Cambiasso.