The Brazil international was hoping to be joined at Santiago Bernabeu by a fellow countryman who continues to be linked with a return to Barcelona
Ever since a record-breaking move to France was completed, it has been suggested that the South American would look to retrace his steps.
Barca pushed hard to take Neymar back to Camp Nou in the summer of 2019, and are said to remain keen on a deal that talismanic skipper Lionel Messi would be in favour of.
Madrid, though, have also been heavily linked with the 28-year-old and Casemiro is disappointed that no deal has been done.
The Blancos midfielder told Onda Cero: “I wanted Neymar to come to Real Madrid, I speak to him almost every day, he’s a great player.”
While Real have been unable to snare Neymar, Zinedine Zidane is working with a star-studded squad and has his side sat at the top of La Liga and through to the last-16 of the Champions League.
Asked about the club’s ambitions for 2020, Casemiro said: “The league is what shows consistency throughout the year, it’s every weekend, but when the Bernabeu has the Champions League anthem, Madrid is different.
“I prefer the Champions League.”
Casemiro has an important role to play for Madrid in their ongoing quest for major silverware, with the 27-year-old happy to sail under the radar at times in a holding midfield role.
“For me, the goal is to steal the ball and the Bernabeu celebrates it in the same way,” he explained.
“You enjoy football just as much in every position, my goal is to steal the ball. I enjoy stealing the ball and helping my team-mates.”
He added on the qualities that he brings to the Real side: “It’s a bit of everything: work, talent, humility, I think above all it’s hard work.
“When you work you get results and work is my strength.
“I think we are all important, some play more than others but we are all important.”
Madrid will be back in action on Saturday when they take in a trip to Levante, with back-to-back outings after that set to see them play host to Manchester City in the Champions League and arch-rivals Barcelona in another Clasico.