Mpenza, who plays for Excelsior Mouscron in Belgium, said: "I want to stay at Mouscron - I need some stability.
I didn't come to the World Cup in order to find a new club."
Often in the shadow of brother Emile for the Red Devils, Mpenza added: "It has never been easy for me in the national team.
"I have known good times and bad times. It's often been said that I'm here just because of my brother.
"This time, Emile had the bad luck to be injured but I at last proved that I could play without him in the team."
He added: "I am happy with the way I played against Brazil but disappointed with the result as we played well.
"It's frustrating to get so close to qualifying. We gave everything today."