Current boss Alvaro Arbeloa is expected to depart after a second straight season without major silverware.
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Los Blancos trail Barcelona by 11 points in La Liga with five games left and were eliminated from the UEFA Champions League by Bayern Munich in the quarter-finals.
“No one from Real Madrid has spoken to me. I can guarantee that,” Mourinho told reporters.
“I’ve been in football for so many years and I’m used to these things… but there’s nothing from Real Madrid.
“I have a year to go on my Benfica contract, and that’s all.”