The Spaniards are out in the market looking for a new striker after Ruud Van Nistelrooy was ruled out for the rest of the season with a knee ligament injury.
The Spanish side have also been linked with Carlos Tevez, Didier Drogba, Hernan Crespo, Diego Milito and Oliveira in recent days.
It is believed the Spanish side would prefer signing a player like Zaki as he will be available for the Champions League, unlike Tevez who is cup-tied.
