Emery is set to be under growing pressure at the helm of the Ligue 1 giant after its last-16 exit on Wednesday (AEDT).
PSG suffered a 2-1 loss at the Parc des Princes to fall to Madrid 5-2 on aggregate as its wait for a first Champions League crown continues.
"Today, I'm not thinking about [that]," Emery said in reference to his future at the big-spending club.
Emery, who is out of contract at the end of the season, still believes in the club's chances of one day winning the Champions League.
However, the Spaniard felt Madrid deserved to reach the quarter-finals at his team's expense.
Cristiano Ronaldo and Casemiro scored either side of Edinson Cavani's strike, while PSG had Marco Verratti sent off.
"Madrid played better than us. We wanted to push more, but the first goal hit our chances and so did the red card. Madrid deserved to go through," Emery said. "Losing to Madrid is not a disappointment, but going out in the last 16 is. But, the first leg was the key because we were better over the first 80 minutes than them.
"They controlled 60 per cent of this match and we couldn't do enough in the 40 per cent we controlled."