Keylor was dropped by coach Julen Lopetegui for summer signing Thibaut Courtois.
Okdiario's chief pundit Eduardo Inda, speaking with El Chiringuito TV, revealed: "Keylor is p***ed off by what happened.
"The call of Costa Rica was ignored to prevent Courtois from removing him from his position. In the first games, except in the Super Cup, he has done well. He stays in Madrid, he does not go with Costa Rica and Courtois takes his place.
"The player has sent the message that if he is not a starter in the Champions League, he would ask to leave in the winter market."