I don't have a definitive answer -- what I've seen is ambiguous. It appears that Columbus thought that he had discovered a new land. On the other hand, he may have felt that this land was connected to Asia. For example, here's a quote from the Encarta article about Columbus: "Without giving in to the idea that he was someplace other than Asia, he did manage to report, 'I believe this is a very large continent which until now has remained unknown.'" (You can find this quote
here.)