The Dane is unhappy, according to reports in the English press, that the club have not spent quickly on signings.
Iago Aspas was apparently a key target for the club but he is set to move to Liverpool.
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The reputation of the Premier League means it is the most popular and one of the most watched leagues in the world.
Five English clubs will compete in the last sixteen of the Champions League for the first time ever as Liverpool, Manchester United, Manchester City, Chelsea and Tottenham face some difficult away matches.