The Italy International attracted an approach to City – which was rejected by Juve – during the Wintermarkt last season.
In the US for the Club World Cup, Cambiaso admits that he spoke with city officials about a move.
He said: “Let's say they have almost unlimited economic means, they have a very rich ownership and I am not surprised that they have already spent so much on the market.
“In January it was nice to just talk, but I am happy to be here and to play with this shirt on my shoulders. I have not been around, it was fun and gratifying to be linked to such clubs, but I repeat, I am really happy that I play here.”