The England international is expected to be one of the most in-demand players next summer with several clubs across Europe interested in his signature.
Along with Madrid and Liverpool, Manchester City, Manchester United and Chelsea are also in contention to sign Bellingham at the end of the season.
According to Marca, Madrid had made the 19-year-old their priority target for the summer window, however, the Spanish champions are now concerned by Liverpool’s approach.
The report claims that Madrid have already spoken to Bellingham’s representatives in the summer but were not given any assurances about the midfielder’s next move.
However, Madrid have been made aware of a ‘closeness’ between Liverpool and Bellingham’s camp which has intensified over the past month.
Earlier this week, reports in Germany claimed that Dortmund are holding out for a €150 million (£128.9m) fee for Bellingham.
When asked about his future last week, Bellingham said: ‘In all honesty I’m not thinking about anything like that [the transfer rumours].
‘You [the media] will be angry with me as you won’t get a headline, but I’m just focused on the next games with Borussia Dortmund.
‘I’m not even thinking about the World Cup. I’m trying to win games with Borussia Dortmund and then we’ll see what happens.’
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