Pogba, 28, has one year remaining on his deal at Old Trafford but told a news conference last month that he has not been offered a new contract.
Sources have told ESPN that United fear Pogba will run down his contract and leave on a free transfer next summer.
Speaking on Spanish TV show "El Chiringuito," Pogba was asked why he doesn't play for Madrid and he laughed and replied: "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."
"[I feel] sad because we knew that we could've gone through and I cried because it was our fault that we didn't qualify," he said.
"But we know that it was a game that will go down in history because there was a lot of emotion for everyone, us and the supporters. It was a lesson for all of us, myself and the team and we'll move on."
When asked whether Mbappe was to blame for France's elimination, Pogba replied: "Of course not. When we have great players, great things are expected.
"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.
"He's a 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."