The 23-year-old has not had the easiest of seasons under coach Jose Mourinho, who has been less than impressed with the forward at times.
Benzema improved as the campaign progressed and gained more playing time, but that has not stopped him being linked with a move away, with the Gunners and Juventus reportedly among his suitors.
Arsene Wenger recently revealed his admiration for the France forward and hinted that Benzema could be available for transfer.
But Benzema told Marca: "I do not think Real Madrid want to sell. Mourinho is confident in me.
"Next season you will see the best from Benzema."
Benzema also backed the idea of Sergio Aguero making the move from rivals Atletico to the Bernabeu.
The 22-year-old this week confirmed his desire to leave Atleti, with their cross-city rivals seen by many as the most likely destination.
"Aguero has the quality to play for Madrid," said Benzema.