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."