The Brazilian moved for a world record fee of 222m euros (£200m) in August, after four seasons at the Catalan club.
Neymar and Xavi, who played together for two years at Barcelona, attended Messi’s wedding in July.
Xavi also told the BBC World Service he turned down Manchester United because Barcelona was his “favourite team”.
The 37-year-old, a World Cup winner with Spain, spent 17 years at the Nou Camp, before joining Qatari side Al Sadd in 2015, after winning his fourth Champions League trophy and eighth La Liga title with the club.
Xavi revealed he held talks earlier in his career with then Manchester United manager Sir Alex Ferguson’s brother Martin, who was a scout for the Premier League club.
He said: “Sometimes we were discussing with Manchester United and Alex Ferguson’s brother to try and join me there. But I decided to stay in Barcelona because it’s my club.
“I was thinking always in Barcelona, its my favourite team, I feel Barcelona in my heart, it’s the best club in the world.”
On Neymar’s departure, Xavi told the World Football show: “He said to us at Messi’s wedding that he wanted to change club.
“I said to him but why? He said ‘I am not happy in Barcelona, I prefer to leave, to have a new experience in Europe at PSG and finally he did, it was his decision, we must respect it.
“I think with Neymar and Kylian Mbappe, PSG have a great chance to win the Champions League this season.”