Alex has slapped in a transfer request at Chelsea.
The Brazil defender told The Sun: “I told Chelsea a few days ago that I wanted to leave.
“There are many options. But I have to think them through and see if Chelsea will let me leave in January.”
It is a major blow for boss Scolari, who has failed to get on with his countryman since arriving in London in July.
AC Milan and Seville have already expressed an interest in the £10million-rated centre-back.
Alex is frustrated by his lack of first-team involvement, having made just 12 appearances so far this season.
He knows he is third-choice behind John Terry and Ricardo Carvalho.