Los Blancos are short of options in the middle of their defence, and a number of players have been linked with moves to the Spanish capital in recent weeks.
According to Defensa Central, Denayer has emerged as a surprise target, with the 26-year-old's contract with Lyon due to expire at the end of the season.
The report claims that the Belgium international could be available for a cut-price fee at the start of 2022 due to his contract situation.
Denayer, who started his professional career at Manchester City, has made 127 appearances for Lyon since arriving in 2018, including eight outings in all competitions this term. body check tags ::