The former Juventus player stressed he isn't surprised to hear of the rumours by saying he was expecting them to come up sooner rather than later.
"I was expecting this. I've arrived [on the show] and I want to say thank you all, I'm going to continue with my holiday and I have to go now because they're waiting for me."
Reports are that Real Madrid have been chasing the signature of Kylian Mbappe, who had a torrid tournament at the Euro 2020.
And speaking on the development, Pogba defended his colleague whose penalty guaranteed France's elimination from the tournament as he believes the Paris Saint-Germain forward will come back from his disappointment.
"He's great player who will learn from it, he will grow and he'll come back like never before. He's not to blame, it's down to all of us because we're all in the same boat. Everyone expects him to score five goals and to be Euro Golden Boot winner but in my opinion, he created chances, worked hard, gave his soul and left everything on the pitch which is the most important thing."
Pogba is in his final year of his current contract with Manchester United and has since been reluctant to extend his stay at the Old Trafford despite the Red Devils aiming to make him the most expensive player in the Premier League.
Real Madrid on the other hand are monitoring the midfielder's situation and could come out with a lucrative bid for him after failing to sign him during Zinedine Zinedine's era at the Los Blancos.
Pogba in last season scored 3 goals with 3 assists, featuring twenty-six times for Manchester United in the Premier League as they finish second behind champions Manchester City.