The veteran Portuguese coach, 63, has been strongly linked with a sensational return to the Santiago Bernabeu 13 years after he left Los Blancos.
"There is contact between the club and Jorge," said Mourinho late Saturday after Benfica completed an unbeaten season in the Portuguese top flight, finishing third.
However Mourinho said he personally has not had any contact with Madrid president Florentino Perez, or anyone else at the club, and that his future will be decided in the coming week.
Madrid will finish a second straight season without a major trophy, and coach Alvaro Arbeloa said Saturday he would be "happy" for Mourinho to replace him.