The Brazilian full-back made only 13 league appearances last season - six of them starts - and his former club were reported to be interested in taking him back.
However, he has started all three of Bayern's league games this season under Pep Guardiola and revealed that he is content in Munich.
"I must say that I was pleased (with the) interest," he told Bild. "I lived for five and a half years in Gelsenkirchen, I had a good time and (they) told me that at Schalke, (the) door is always open.
"But (Uli) Hoeness told me that he wants me to stay, Karl-Heinz Rummenigge also.
"That is a great confirmation for me.
"I'm at the best club in the world, (and) feel very comfortable in Munich."
The 28-year-old also admitted that he had not given up hope of forcing his way into the Brazil squad for next year's FIFA World Cup.
"Who knows, if I'm doing well it may be that I still can (make it)," he added.
"The hope is always there."
