The Belgian striker made the confession as he openly speculated about a move to "the club I love", Arsenal.
Villa - who have played in Birmingham since their founding in 1874, paid £7 million to sign Benteke from Genk in the summer.
The 21-year-old has established himself as a fans' favourite but his comments will do little to endear him to the Villa Park crowd.
"When I joined Villa I didn’t know where they played," he was quoted as saying in The Sun. "I thought they were a London club!"
"Arsenal are the club I love. I like their philosophy of selecting young players and, besides, they had Thierry Henry.
"For me he is the best player in the world and was my boyhood idol.
"I’m not afraid of making enemies at Villa by saying I love Arsenal.
"One can say worse things. I’m a Villa player for now. They’re the right club at the right time."
However, Villa manager Paul Lambert said he was not concerned by the remarks.
He said: "I think it's been a bit naughty and misconstrued of what he said and been reported in Belgium.
"I know what it is like when that happens so I'll take it lightly. He is a big guy and doesn't say two words.
"In any case, if you ask any young footballer they will have a team and players they have followed.
"Listen, I'll reassure the fans that the big guy is more than happy.
"He is playing really well. If he wasn't happy, he wouldn't be playing the way he is."