The whole Sergio to Madrid thing is probably never going to go away whatever utterances come from his mouth and in all fairness, not without good reason.
Any player from Latin America must harbour some ambition to play for Real and/or Barcelona at some point in their careers and whilst on the surface he appears to be settled here, it can hardly be said he has embraced British culture as much as other foreign City players such as Pablo or Vinny. I get the impression that his conversational English, off-camera, is decent, but someone who appears to be articulate when interviewed in Spanish should be able to conduct a basic level interview in English after two years living here if they'd more fully immersed themselves imo.
I think to get the answer you have to look beneath all that, however. Any glance at his social media output displays a fairly deliberate and organised, yet subtle, marketing campaign. He is probably more conscious of his image than appears to be the case on the surface. He doubtless realises that there would be risks to his preeminence if he were to move away from City, a sporting brand which itself is marketed superbly. Moving to either of the aforementioned clubs would almost certainly mean a reduction in his relative role, but this has to be balanced against the fact that as things stand they both provide discernibly bigger stages.
In my mind there's no doubt he loves City and its supporters, but that doesn't mean he'll feel compelled to stay here if the pull elsewhere is sufficiently strong. It's not like he could ever turn into a figure of hate and he probably realises that.
I think he quite possibly doesn't know the answer to the question himself right now: stick at a club where he is loved and revered, a club which is continuing to grow (providing him the opportunity to grow alongside it) in a country that he seems fairly happy in; or move to one of two clubs with which he will have more synergies culturally and language-wise, clubs which are already established as numbers one and two in the world, which he may very well have dreamed of playing for since he was a kid.
There will also be the effect of wider factors extraneous to his wants and needs, namely the relative finances in the English and Spanish games to thrown into the mix, as well as City's ability to demonstrate a genuine ability to compete for the Champions League this season.
I personally feel that we'll get this season and most probably next from him, upon which, at 27, he'll be faced with a monumental decision. He is a highly ambitious individual and for that reason where City find themselves at that point in time will doubtless have as much bearing on the outcome of that decision as any other factor.
That, and hopefully the fact that he just fucking loves scoring against united :-)