Reports suggest that the Belgian is stalling on a new contract with the Blues due to wage demands, and Los Blancos have long been linked with the former Atletico Madrid keeper.
"Of course Thibaut is of interest to the big clubs, including the latest Champions League winner," Henrotay told Sport Foot .
"He's someone who helps you win games, titles. I meet regularly with those in charge at Real Madrid, and Thibaut's case has come up. My role is to keep him updated on the situation."
Madrid are reportedly looking for another option to current No. 1 Keylor Navas and his deputy Kiko Casilla, and have also been strongly linked with Manchester United’s David de Gea and AC Milan pariah Gianluigi Donnarumma.