The midfielder spent six years at the Spanish giants, though two of those seasons were on loan at Bayern Munich.
Rodriguez left the Spanish capital last summer to join Everton, but rumours of a possible return began circulating when coach Carlo Ancelotti left the Toffees to take up a second spell at the Santiago Bernabeu.
But the 30-year-old says he is not interested in going back to Madrid.
When asked by a viewer if he would return to Los Blancos, Rodriguez said on Twitch: “No, I don’t think so. It is a closed cycle now, which is not going to be repeated.”
Rodriguez’s future has come into question since Rafael Benitez replaced Ancelotti at the helm of the Merseyside club.
The Spaniard recently hinted that the former Monaco star could be sold and Rodriguez admits he does not know where he will be next season.
“They are asking me a lot where I am going to play. I don’t know, the truth is a quite complicated issue. Let’s see what happens,” he said.
“I don’t want to say yes and no, because I don’t know. I’m training well and hard. I don’t know what’s going to happen, I don’t know where I’m going to play. In football and in life we don’t know anything.
“I’m training hard, preparing well, training for myself and that’s it. You have to think about the present and the present is here, I’m training hard for everything to come.
The Colombia international has so far played in the top leagues of England, Spain, Germany, France and Portugal.
While he does not know where his next move will be, he is intrigued to complete the set and give Serie A a try.
“I don’t know where I’m going to go, where they want me, you have to be where they want you, or else you can go,” he added.
“I’ve already played in all of them. I am missing Italy, but I don’t know. It would be a good option, but in the future I don’t know if it will come to pass. I still haven’t played in Italy, it would be good to make that record.”