Aubameyang has spoken in the past about his ambition to join Los Blancos, partly to fulfil a promise he made to his grandfather, but it doesn't seem to be on the cards any time soon.
"I have no more dreams. I shall no longer speak of Madrid. I am very good at Dortmund. I feel that the clubs do not dare to come too close to take me. Maybe they do not want me anymore," the Gabonese front-man told RMC.
Aubameyang suggested that he had an agreement in place with Dortmund that would allow him to leave, yet it looks as though no clubs he wanted to join stepped forward with a serious offer.
"People who underestimate me, I will continue to prove to them what I can do where I am," the player commented.
"I am inevitably frustrated, we had agreed with Dortmund that I could leave this season, but it did not happen. There is disappointment, but whatever happens, I'm happy to stay because I feel good here. It's not a problem, we're going to work hard here."
Aubameyang also admitted interest in joining Milan after receiving a proposal from his former club, but there were 'various reasons' why a move didn't materialise in the end.
"There was an approach to AC Milan, they offered me something, there were not too many differences between what I earn here and there which I could claim there," he said.
"I was very interested in the project, it did not happen for various reasons."