The Netherlands international appears to be surplus to requirements at the Liga side, and could be on his way back to the Eredivisie this summer
The defender joined the Liga side from Hamburg in the summer of 2011, but could be on the move again as the club have been plagued by financial problems of late, despite a top-four finish last season.
Ajax are in the move for defensive reinforcements following the departure of Jan Vertonghen to Tottenham, and head coach Frank de Boer sees Mathijsen as the ideal replacement.
Feyenoord, meanwhile, are keen to sign a new centre-back in the wake of Ron Vlaar's transfer to Aston Villa.
However, sporting director Martin van Geel, who previously worked with Mathijsen at Willem II and AZ, has admitted that the Rotterdam outfit face a tough task in luring the defender to De Kuip.
"It's true that we know each other pretty well. He is a real professional and a good defender. However, it remains to be seen whether we can afford him," Van Geel told Voetbal International.
Mathijsen, 32, is contracted to Malaga until the summer of 2013.