Saul Niguez is set to see out the season with Chelsea.
Atletico Madrid allowed Saul, 26, to leave in the summer after nine years playing for the club.
AS says the club's hierarchy was willing to let him leave to fund a move for Antoine Griezmann, and now there is no budget left to accommodate Saul.
Fifa regulations also prevent a player from being able to play for three different teams in a single season, with Saul making three appearances for Atletico this term.
So the Spaniard would not be allowed to make a different loan move.
Saul could make a move to MLS or South America at the beginning of next year - as their seasons start in the winter.
But considering that is unlikely, Saul will have to stay at Chelsea and fight for his place in the team.
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