In an interview with Catalan radio station RAC, Messi said he felt the treatment was good in Spain and did not want to stay in the country after being accused of tax fraud.
He added that this was problematic for him and his family, and hinted that if he received an official offer from another club in time he would leave.
"I feel that the Spanish tax authorities are targeting me," Messi said.
Messi's crises began with Spanish authorities in 2013, and he was eventually sentenced to a 21-month suspended sentence, after being convicted of defrauding tax authorities and failing to pay 4.1 million euros.
Many other players were then charged with tax offenses, including former Real Madrid star Cristiano Ronaldo.
On another issue, Messi said he wished Ronaldo to continue at Real Madrid: "His presence was good for the Spanish league, and the competition between Real and Barcelona."