Los Blancos will play Liverpool next Saturday for the trophy.
Mbappe, on Saturday snubbed Madrid and signed a three-year deal to stay at PSG.
He has now released a statement, highlighting his decision not to move to Spain, while expressing his support for Carlo Ancelotti’s men.
“I’ll be Real Madrid’s first supporter for UCL final in Paris, my house. I’d like to thank Real and Florentino Perez. I understand their disappointment.
“I understand honour and privilege to be wanted by an institution such as Real Madrid,” Mbappe said.