Baptista's future at the Bernabeu has been the source of much speculation since he returned from his year-long loan spell at Arsenal, with the Brazil forward being linked to a number of rival clubs in both Spain and Italy.
However, the 25-year-old former Sevilla forward recently spoke with new Madrid coach Bernd Schuster and took some positives from the meeting.
"Since I returned I have said that I really want to remain here and to help Real Madrid," he said.
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"I have spoken with Schuster and although what was said is between us and private, we have clarified things with each other.
"There is no possibility that I will go out on loan to another club."
While Milan are one of the clubs who are believed to be leading the chase for Baptista, he wants to stay at the Santiago Bernabeu.
"I feel flattered because another great club is following me, but I am at a great club with Real Madrid and I want to win titles here," he added.
Madrid won the Liga title last season on the final day after four years without a trophy.