Fernandes was reportedly offered to treble his wages if he joined Al Hilal, with suggestions that the Saudi Arabian side would pay Manchester United 100m pounds for the transfer.
The English Premier League outfit has made it clear that they do not want to sell their captain, who has a contract with the club that runs until 2027.
The 30-year-old has contributed 98 goals and 87 assists in 290 games in all competitions since moving to Manchester United from Sporting Lisbon in January 2020.
Speaking at a Portugal press conference, Fernandes said: "It would have been easy to move there (Al Hilal). I know the Portuguese players there very well.
"But I want to play at the highest level and compete for major titles. I can do that, and I still want to. I spoke to (Man United) coach (Ruben) Amorim. He asked me not to go."
Manchester United will undergo massive rebuild ahead of next season after finishing a record low 15th in the Premier League and falling to defeat against Tottenham Hotspur in the Europa League final.
The English giants have already completed the signing of attacking midfielder Matheus Cunha from fellow Premier League side Wolves.
Manchester United have launched an ambitious move to sign Brentford's star forward Bryan Mbeumo, tabling a 55 million pounds offer that Brentford have rejected as too low, according to recent reports.
Manchester United winger Amad Diallo has been withdrawn from the Ivory Coast squad for two upcoming international friendlies in Canada.
Paul Scholes says Manchester United should make Victor Osimhen a priority summer signing.
Jadon Sancho has confirmed his departure from Chelsea following the conclusion of his season-long loan, with the winger now expected to return to Manchester United amid uncertainty over his long-term future.
