The winger is disappointed with his lack of playing time, but the club will only allow him to leave if they receive a sizeable bid.
Real Madrid have slapped a €20 million price tag on Denis Cheryshev amid interest from Valencia, Goal understands.
The winger is disappointed with his lack of playing time at the Bernabeu, having spent the last two seasons on loan at Sevilla and Villarreal.
However, Madrid are reluctant to allow the youth product to leave and will only sanction his exit if he they receive a sizeable bid.
Valencia made their interest known last week as they continue their search for a new winger, but received little encouragement to pursue a formal offer.
Madrid boss Rafa Benitez is aware he is unlikely to find a replacement for the 24-year-old so late in the transfer window and at a reasonable price.
Cheryshev - who joined the club as an 11-year-old back in 2002 - has two years remaining on his current deal.