The French giants were linked with Saints' ex-Lille winger in the last transfer window, but Boufal knows the Stade Velodrome club never made a concrete bid for him.
He told Canal Plus: "Marseille? Yes they turned my head. They never came to see me. Marseille, it's still a great French club. They are the best supporters of France.
"It might have interested me, but I'm in Southampton."
The Morocco international made just 12 Premier League starts for the Saints last term after ex-manager Claude Puel brought him in from Lille.
But the 24-year-old has started in the last three league matches under Mauricio Pellegrino.