The warning comes from Santos president Luis Alvaro de Oliveira.
The Blues have authorised agent Pini Zahavi to travel to South America to open negotiations.
De Oliveira insists: "We are currently talking with potential sponsors to work out a deal necessary to keep Neymar.
"There have been no new offers and if any come they will be sent back."
But Neymar said: "The dream of all Brazilians is to play abroad and I am no different."