The 30-year-old has been a free agent since terminating his contract with Mexican club CF Monterrey and is now considering a move to the La Liga side, who are currently 18th in the table.
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According to Foot Mercato in its report, Martial also turned down a lucrative offer from Libyan club Al-Ittihad Tripoli, who recently signed Moroccan winger Sofiane Boufal.
The Libyan side reportedly offered Martial a net salary of €10 million over two years, alongside a €5m signing bonus.
Despite the financial package, the Frenchman is said to have rejected the proposal, opting instead for a project that offers him a sporting challenge as he seeks a career revival.