The newly promoted side made an official approach to the Football Association of Wales (FAW) in the summer but were refused permission to talk to Coleman.
"I think everybody is under the impression that everyone wants to work in the Premier League," said Coleman, who announced Wales' first squad since their astonishing Euro 2016 campaign ended in defeat to Portugal last month.
"I want to work at the top level like everyone else, but it doesn’t mean that’s the Premier League. I want to work in Europe again.
"I’m happy, looking forward to this next challenge. There was an official approach and the FAW turned it down. So that is the end of it.
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"With the Premier League, you look at it sideways, of course you do, but managing your national team comes around once if you’re lucky. I don’t think I’ll have any regrets."
Coleman has included Gareth Bale, who scored twice for Real Madrid in their 3-0 win over Real Sociedad on Sunday, in the squad to face Moldova in a World Cup qualifier on Sept. 5.
"There’s no surprise, scoring after about 75 seconds. He’s capable of almost anything, I think Madrid are very excited about the future with him," Coleman said.
"They recognise they’ve got someone who will be there for a while and is capable of winning everything."
Coleman also includes Hal Robson-Kanu, another of the stars of Wales' Euro 2016 campaign, even though the striker has yet to find a club following his summer release by Reading.
"I’d like to see Hal settled, but he had an incredible campaign and he’s got to get the best for Hal. There's nothing wrong with that," said Coleman.
(Reporting by Neil Robinson; Editing by Alison Williams)
