Having failed to agree fresh terms with the Blues hierarchy, the playmaker is expected to leave Stamford Bridge on a free transfer at the end of the season.
While Tottenham Hotspur have been linked with the Brazilian due to his desire to remain in London, a move abroad remains a possibility.
However, according to The Mirror, the 31-year-old will not be making the switch to the Bernabeu later in 2020.
Although the report claims that Zinedine Zidane is an admirer of Willian, the Los Blancos boss does not want to sign the player at this time.
Due to the financial implications of the coronavirus pandemic, Real are placing priority on reducing their outgoings, primarily their wage bill.