The Spanish shot stopper struggled during a loan spell at Real Madrid last season.
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Kepa was out of the Real side by the second half of the campaign, despite Thibaut Courtois only returning for the last few games.
According to Marca, the goalkeeper has a big offer from the Saudi league to join this summer.
Al-Ittihad are willing to pay the Spain international a mega salary to join them at age 29.
However, the shot stopper is not in a rush to leave Chelsea, as he wants to assess his options.
