Cazorla's future at Arsenal was the subject of conjecture earlier in the summer amid rumours he was keen on a return to Spain - with Atletico Madrid said to be interested in signing the midfielder, as reported by the Telegraph.
However, Cazorla ended talk that he could leave the Emirates in July by signing a new deal to keep him at Arsenal - with the Guardian covering a double deal that also saw Theo Walcott commit to the Gunners.
The 30-year-old admits he is unsure as to how the speculation started, and has blamed the media for starting the rumours and fanning the exit flames.
"I never said I wanted to return to Spain," Cazorla told the IBTimes UK.
"Those things just came from the press. I don’t understand why they publish that story because I have always been happy at the club.
"I feel very valued here and the club valued me even more with a new contract. I never considered leaving Arsenal."
Cazorla has established himself as a key member of Arsene Wenger's side since being converted into a central midfielder from his normal wide role last season, and he has been an ever-present in the Premier League so far this term.
Arsene Wenger will be keen to see Cazorla stay fit as he will need the Spain international to be at his best if they are to mount a serious challenge in the Premier League and Champions League this season.