The 21-year-old has been suggested as Madrid boss Jose Mourinho's priority for the January transfer window as the Portuguese coach looks to add to his defensive options.
Earlier in the month, Gremio sporting director Paulo Pelaipe said that Madrid, as well as CSKA Moscow, had seen their offers for the defender rejected by the Brazilian club.
Odone has now confirmed Madrid's interest in Fernandes, but guaranteed that the Spanish giants never tabled any formal bid for the promising stopper.
"There were some talks with Madrid in November, but we never talked about money because we want Mario to stay," he told Marca.
"We do not want to sell him and he does not want to leave either. He is very happy here and he does not have to leave."
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