The Dutchman has been in negotiations with Chelsea over a new deal which was expected to keep him at Stamford Bridge until 2012.
But talks have stalled and Madrid have seized the opportunity to try to sign the winger.
However Kenyon has angrily hit back by saying: "We note that Mr Calderon confirms Real Madrid spoke to Arjen.
"As a result Chelsea will be writing to Fifa to ask them to investigate an illegal approach by Real Madrid.
''There have been no meetings or conversations between the Real Madrid sporting director Predrag Mijatovic with any Chelsea officials, anyone mandated to act on Chelsea's behalf or owner Roman Abramovich about Arjen's future."