The Portugal international is seemingly keen to leave the Spanish giants in order to relaunch his career elsewhere after two seasons with los Blancos
The Portugal international joined the club from Benfica in the summer of 2011, but has been unable to live up the high expectations, having largely struggled to seal a starting berth.
The 25-year-old is set to follow Jose Mourinho out of the Spanish capital this summer and the player has suggested that he is ready to move on.
"If they are not happy with me, we will have to find a solution. From the first day on, I got the feeling that I was not really wanted here," Coentrao told O Jogo.
"It seems as if everybody wants me to leave the club. I don't know what I have done wrong. We will have to find a solution that's good for the club and for myself. We must both be satisfied.
"Chelsea? I will not close the door on any team if I leave Madrid."
Coentrao has a contract with Madrid until June 2017.