Media reports had suggested that Niemi was on his way to Manchester Utd during this January's transfer window, rumours that have upset the Finland international stopper.
"Quite honestly I feel like refusing to talk to the press ever again now," he said.
"But what concerns me most is what Sir Alex would think of me. I must apologise to him."
"A reporter spoke to me for 30 minutes and during that time I was asked what would happen if Manchester United or Arsenal came in. I said I would at least talk to them because they are massive clubs who win trophies.
"So if Southampton agreed a price and wanted to sell me I would at least talk to them. That's all there was to it. I did not say I was looking for a move or wanted to go to these clubs. It was just a comment in response to a leading question.
"I couldn't believe it when I looked in the newspaper and saw only that comment, out of context. I'm very upset. It is just ridiculous. I like reading these newspapers but don't want to see myself misrepresented."