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The 28-year-old Bafana right-back has been exceptional for the Brazilians in recent campaigns.
He was named Premier Soccer League Defender of the Season for his performances last term to reportedly attract the interest of Burnley FC.
The Clarets already have Bafana striker Lyle Foster on their books and have been rumoured to be considering a deal for Mudau.
The former Black Leopards man said on iDiski Times: “Obviously there are rumours here and there but I’m focused on my team, my current team, Mamelodi Sundowns.
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“I’m very happy, to be honest, but if an opportunity like this can come, obviously I’d take it, you know.”
Mudau, who has won three league titles, the MTN8, Nedbank Cup and African Football League with Downs, has become an important member of the South African team.
He scored his first goal for the team in the World Cup qualifying 2-1 win over Benin at the weekend.
Mudau added: “I’m a person that can say whenever I play I just want to make sure I help, club or national team so I was very happy to help the national team to win the game.
“So I was very happy for that goal, I was waiting for that moment and finally it came – I managed to get the goal.”