The Brazilian international claims he shunned an approach from the Primera giants to clinch a summer transfer to El Santiago Bernabeu.
The 25-year-old is though set to leave Leverkusen, and reports have suggested that Juventus could now be favourites for his signature.
"I am not going to Madrid. I don't want to go there," the centre back declared.
Lucio had been touted as a long-term Madrid target, and his comments are sure to spark a scramble for his services.
His German club are resigned to selling the South American in a bid to ease their difficult financial predicament, and Leverkusen president Reiner Calmund has revealed there is no shortage of interest in the cultured stopper.
"It's obvious we must sell two renowned international players," admitted Calmund.
"There are various offers, but we will not sell players for less than their true value.
"Lucio represents the biggest transfer and there are numerous offers for him. But we have until August 31 to close the transfers."
