Let’s look at the typical changes that we have to make to demonstratives (here, there, this, that etc) in reported speech.
“This is my favourite restaurant in the city,” he said.
He said that that was his favourite restaurant in the city.
“I really like these new shoes,” she said.
She said that she really liked those new shoes.
“I don’t want to be here any longer,” said Bert.
Bert said that he didn’t want to be there any longer.”
We don’t need to change that, those or there:
“That’s my jumper!” she said.
She said that that was her jumper.
“Those trousers aren’t mine,” he said.
He said that those trousers weren’t his.
“I hope I can go there one day,” he said.
He said that he hoped he could go there one day.