Chairman Unal Aysal revealed that he will not stand in Yilmaz's way if a suitable offer is tabled for the prolific forward.
Speaking at the Leaders in Football conference, which is being staged at Stamford Bridge, Aysal said: "If he wants to go and Chelsea are interested then of course, why not?
"I favour Turkish players going to Europe to play in European leagues."
Asked if the Blues had already made an approach, he added: "No, not yet.
"We had some requests from Lazio at the end of the summer, but the deal didn't go through because the conditions were not satisfied."
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