The Portugal international had been in talks with Benfica and was ready to return to his former club.
Terms worth €12m over two years had been agreed between Benfica and Felix, with the player willing to accept a drop on his €8m salary with Chelsea.
However, A Bola says Benfica refused to meet Chelsea's €50m asking price - even when given an option to pay the second-half of €25m in installments.
Benfica insisted they wouldn't go higher than €25m and despite Felix's wish, the move collapsed.
Instead, Al Nassr stepped in and struck terms with Chelsea over a fee of €30m up front and a further €20m due in bonuses and installments.
Felix, however, still needed persuading about a move to Saudi Arabia, but was soon convinced when Al Nassr tabled him a two-year deal worth a staggering €75m - NET - to make the move.
With the support of Portugal teammates Cristiano Ronaldo at Al Nassr and Al Hilal pair Ruben Neves and Joao Cancelo, Felix accepted the transfer confident he would remain on the radar in the Saudi Pro League for his country's World Cup selection.