The Brazil forward, 29, is yet to sign a new contract at PSG with his current deal running out next summer.
He has been linked with a move away, including a return to his former club Barcelona who he left for PSG in a £200m, world-record deal in 2017.
"This year PSG has really improved and we have worked a lot to keep improving," Neymar said.
"I really feel great, really happy. I am most happy this season.
"We really want to win the Champions League."
Neymar's Paris St-Germain host Manchester City in the first leg of their Champions League semi-final on Wednesday.
Neymar has scored six goals in seven games in this year's competition and 14 goals in 24 games in all competitions.
The French giants, who appointed former Tottenham boss Mauricio Pochettino in January, are currently second in Ligue 1, a point behind leaders Lille as they chase a fourth consecutive title.
"We allowed him to do what he needs to do," Pochettino said of Neymar.
"It is not like a young kid. You need to take care about all the players.
"Nothing special. He and all the players are treated the same way."
Against City, Neymar will form a formidable front line with France striker Kylian Mbappe, who has scored 33 goals in 38 games this season, including two against defending champions Bayern Munich in the quarter-finals.
"I try to sleep well last night and I slept when I was not thinking about their players like that," City manager Pep Guardiola said. "They are incredible, top players.
"We are going to try to stop them. We will train together, play good football, defend well as a team and try to score goals."
Neymar won his only Champions League title at Barcelona in 2015 with his best result since coming last season when PSG lost to Bayern in the final.
Barcelona have not reached the final since the forward left.
"I'm pretty sure if he'd stayed in Barcelona they'd have won two or three Champions Leagues more, with Neymar, [Lionel] Messi, [Luis] Suarez - the best three I've seen," said Guardiola, who led Barca to the European title in 2009 and 2011.
City's Phil Foden scored in both legs of their quarter-final win over Borussia Dortmund and Pochettino said PSG have "ideas" about how to "control him".
"Foden is a fantastic player," Argentine Pochettino said.
"We need to control him and we have ideas but he has enormous talent.
"You are talking about the best players in the world."