The 25-year-old appeared to be on the verge of re-joining boyhood club Benfica before the Saudi Pro League club hijacked the deal.
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Felix failed to establish himself at Chelsea after making the move last summer, spending the second half of last season on loan at AC Milan.
According to the BBC, Chelsea are set to pocket £43.7 million from the sale of the Portugal international to Al-Nassr.
With the move set to be finalised soon, Felix was filmed taking in the surroundings of his new club as he hopes to get his career back on track.