The 27-year-old has spent the season on loan at Real Betis, who his whole family are die-hard supporters of.
Betis and Bellerin had hoped that a deal could be struck with Arsenal to make the move permanent on a free transfer this summer, as the full-back only has one year left on his contract in North London.
But Estadio Deportivo says the Gunners are unwilling to let Bellerin leave for nothing. They are keen to receive a transfer fee for the Spaniard or would consider a swap deal.
The report adds that Serie A clubs Roma, Fiorentina, Juventus and Inter Milan are also interested in Bellerin, while Barcelona - where he spent eight years as an academy player - are monitoring his situation too.
However, the 27-year-old has his heart set on returning to Betis and according to Estadio Deportivo he is willing to reduce his salary by more than half to push the deal through. His Arsenal wages are believed to be around £100,000 per week.