The Argentinian was tipped to follow Manuel Pellegrini to Manchester this summer, though a deal failed to materialise.
Spanish club Malaga - who were moments away from the Champions League semi-final last season - continue to struggle financially and have already sold a number of first-team players to fund their debt.
Martin Demichelis has already made the move to Eastlands this season, whilst Santi Cazorla switched to Arsenal last season.
Malaga's financial woe was also eased this season by the sale of attacking midfielder Isco to Real Madrid.
Caballero revealed that he did have offers to leave Spain this summer, though believes he made the right choice in sticking around.
"I had a lot of offers in the summer," he is quoted as saying on talkSPORT.com. "There were many possible moves in the team and I was not the exception. Now I am calm and doing well in Malaga."
It is believed Pellegrini wants more competition for first-choice stopper Joe Hart who has endured a difficult start to the season.
Hart - who failed to live up to his title-winning form during last season - only has competition from Costel Pantilimon as things stand and the City boss wants a new 'keeper to keep the pair on their toes.
And Caballero has revealed he does indeed have a release clause in his contract, though remains wary that many who have left Malaga have struggled.
"There is a [release] clause, of course. But most of my colleagues who went to other teams say they regret having it."
The former Boca Juniors player is yet to make a senior appearance for Argentina, although he did win an Olympic gold medal in 2004 as back-up to German Lux.