After a stunning start to the 2015-16 season, the England international has been linked with a shock transfer toSantiago Bernabéu, while Liverpool and Tottenham have also been reportedly planning a move.
Vardy has scored in nine consecutive Premier League matches, putting him one short of Ruud van Nistelrooy's record of 10, but insists he has no plans to leave Leicester despite such a fine goalscoring run.
"It is all speculation, it is as simple as that," the 28-year-old said to Sky Sports when asked about the talk of a move to Madrid.
"I am happy with what I am doing at Leicester and long may that continue. It has been a brilliant start for myself as well as the team."
Vardy has scored 12 goals in as many league games this season but was reluctant to set a total figure he would like to have reached by the end of the campaign after winning the Premier League Player of the Month award for October.