The 34-year-old, who has spent his entire career at Anfield, will tonight face Real in a Champions League Group B tie on Merseyside, having snubbed a move to the European champions at the peak of his powers.
"I think it is very flattering to be linked to a huge club like Real Madrid," Gerrard said in the Daily Mail.
"I think I had a couple of options throughout my career to go to Real Madrid but I resisted temptation because of the big connection I had to my hometown club.
"It may be something I regret further down the line by not challenging myself and having a change of scenery in a different country but I would have had a bigger regret leaving the club I love.
"I am a big fan of Madrid, they are a special club, but for me Liverpool are my number one club."
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Looking towards the upcoming clash, Gerrard is hopeful the Reds can rekindle memories of their 4-0 rout of Los Blancos in March 2009.
"This is almost like a bonus game for us - a game we need to enjoy - but I've been around for a long time and I know you only enjoy nights like this when you put in a good performance as a team and we are hoping we surprise and shock a few people," he said.
"Looking back at that  game the reason we came out on top is because we were very aggressive both with and without the ball; we pressed from the front and we also had a world-class talent in Fernando Torres who set the tempo on the night and we all came in behind him.
"That was a wonderful evening for myself and the team: it was a fabulous performance and we are looking for the performance level to be similar if we want a positive result."