"It's very flattering to see the interest, but it's even more flattering to see how the Cubs pulled back and retained me," Pena said after the Cubs' 3-2 win over the Atlanta Braves on Wednesday.
Although assurances may have been made to Pena, nothing will be official until the 48-hour window in which teams can complete a waiver transaction has closed for this particular claim.
After hearing about the Yankees' interest, Pena had a conversation with interim Cubs general manager Randy Bush about his status.
"We were able to talk today," Pena said. "The conversation was to reassure me how much they think of me. I told him how much I appreciate being a Cub and how much pride I take wearing the uniform. Regardless of what people were saying or what I was hearing, I said that I'm wearing this uniform and that's my entire eternity right here."
On Thursday, Pena was asked why he wouldn't want to jump into a pennant race with the Yankees, considering he could re-sign with the Cubs as a free agent after the season.
"Those are all the possible ways of looking at the situation," Pena said. "At the same time, if I want to be a part of this club, I want to be here also through the tough times. At the end of the day, when the good stuff happens and we get to where we want to get to, it will make it that much sweeter. Something about sticking together really appeals to me."
Pena's day Wednesday was filled with tweets, emails and texts, after word got out that the Yankees had put in a waiver claim on the Cubs first baseman.
"I tried to stay oblivious to all that," Pena said. "It's almost impossible because how advanced we are in the media. Computers, the Internet, even if I'm not into that or at home connected to the Internet, my friends are, my family is, my brothers may be. That's how I find out about these things. It is tough to stay focused and stay away from paying attention to all the rumors."
"I understand that it's almost standard procedure," Pena said of going on waivers. "I understand how it goes. This is what we need to understand as players. That sometimes things are done and it doesn't necessarily mean anything personal. I certainly wasn't the only one going through waivers."
Pena was in the Yankees organization from April 19, 2006, until Aug. 15, 2006, when New York released him. He played 105 games for the franchise's Triple-A affiliate in Columbus.
Bruce Levine covers the Cubs for ESPNChicago.com.