Goal can confirm the Belgium international was due back at the club's Cobham training ground on Monday as Maurizio Sarri makes his final preparations for his first campaign in charge.
But Courtois - who was due to hold talks with the new Chelsea boss regarding his future - has now gone AWOL with less than 72 hours remaining before the English transfer window closes.
The former Atletico Madrid stopper would still be free to leave Stamford Bridge until the European deadline closes on August 31, but with Chelsea reluctant to sell until they have found a replacement, Courtois realistically needs to depart before the start of the new campaign.
Madrid have long been interested in the 26-year-old as they aim to find a new No.1 to replace Keylor Navas in their first-choice XI, having admitted defeat in their pursuit of Manchester United's David de Gea.
Courtois has just one year left on his contract in west London and as such would be available for around £30 million ($38.8m) this summer.
The player has made no secret of his desire to return to Madrid, with his agent, Christophe Henrotay, having urged Chelsea to sell Courtois so he can be closer to his family who live in the Spanish capital.
Whether that materialises will now likely depend on Chelsea's pursuit of a replacement, with reports in Spain claiming they are about to pay the €100m (£89.3m/$115.6m) release clause in current Atletico custodian Jan Oblak's contract.
Courtois was the only player not to return to training on Monday as the rest of the Blues' World Cup semi-finalists and finalists - N'Golo Kante, Olivier Giroud, Eden Hazard, Gary Cahill and Michy Batshuayi - reported for duty following their three-week breaks in the aftermath of Russia 2018.