Serie A side Napoli want James, whose future is up in the air after Bayern Munich did not take up the option to sign the star permanently following a two-year loan deal.
James does not appear wanted at the Santiago Bernabeu, where Zinedine Zidane's Madrid are looking to raise funds after a busy transfer window.
Asked about his future amid Colombia's Copa America campaign in Brazil, James said: "Right now I'm only thinking about the Copa America.
"I still don't know where I'll go but I want to be calm. The decision depends on the club [Real Madrid].
"There are people with a lot of power there, I can't do much. I haven't spoken with Zidane."
Colombia are through to the Copa America quarter-finals, with James and his team-mates set to face Chile.