The Bernabeu club have been long-term suitors of the Brazilian forward and Madrid-based news outlets with close ties to the club have repeatedly made claims of a move from Paris being in the works. Madrid even went as far as to deny reports of a world-record bid for the striker in July.
But al-Khelaifi, speaking at the launch of PSG's partnership with Michael Jordan's Nike brand, told Marca in no uncertain terms that is time for Madrid's back-alley pursuit of their star man to stop.
"To be a realist it's a bit frustrating, because it isn't fair that other clubs or someone talks to our players," he said.
"We don't like it at all and we've talked about it at the time with Real Madrid.
"We have a good relationship and they say they respect PSG, I hope that is true.
"We respect Real Madrid and their president, Florentino Perez, but I believe that it's important for everyone that we don't work behind the scenes.... I don't know if you catch my drift.
"If there is something, it is better that we talk, talk with Florentino Perez or with whoever and we say what we like and what we don't like.
"It is what we expect from all clubs, not just Real Madrid. To kill each other is not how PSG works and I hope that other clubs won't do the same to us."
The Madrid media has long pushed a story that PSG would come under scrutiny from Uefa over their spending, forcing them to release Neymar into the welcoming arms of Real president Florentino Perez.
And al-Khelaifi was under no illusions as to where such reports were originating as he accused leading clubs of maliciously spreading lies about PSG.
"These are rumours that come most of all from Spain and we know where they come from. But it doesn't matter to us what they say, in truth, we are calm.
"We know what we have done and complying with the rules. We have sold players for record amounts and the truth is that we focus on ourselves and hope that they let us work.
"I don't like the people that aren't honest, that seem like friends and then go behind your back.
"I like to say things to people's faces and talk. I don't like that clubs talk behind our backs and that is what is happening."
But the PSG chief saved his strongest words for La Liga president Javier Tebas, a long-time critic of the Parisians' spending.
Tebas said in August that PSG are "a group using every loophole just like Manchester City" and that they "destablise the transfer market."
"You need to ask why state-owned clubs exist as they are inflating the market when they buy players," he said.
But al-Khelaifi's response was firm.
"I've never talked about Tebas behind his back and he does that to us. The last time that we spoke I was very clear with him. It is best to say things to people's faces.
"He attacks everyone, Juve, Inter, PSG. He should focus on his own business, on La Liga and its clubs, and let the rest of us get on with our jobs.