Madrid is the only club he has been linked to since he joined PSG. I don't recall any rumours about another club. It does feel like if/when he leaves, it will be for Madrid and nowhere else.
He did reject them a few times but he had good reasons to do so on at least two occasions: going to PSG after Monaco for a 19-year-old who grew up in the area was a logical move, and last year, staying meant he would become PSG's all-time top scorer and the world's highest-paid athlete.
That being said, I don't believe he dreams about Madrid anymore. He's too big for that now. I mean, he's bigger than PSG and his national team and he knows Madrid need him as much as he needs them. I wouldn't even put it past him to suprise everyone and sign for another club. Few players would have turned them down at the last minute like he did last season, although I think it was a mistake.