According to Italian 'Sky Sports' journalist Gianluca Di Marzio, Roma are growing tired of their prolonged pursuit of Mahrez and will now look to the talented Madrid winger as an alternative option.
Vazquez made the majority of his appearances for 'Los Blancos' from the bench last season, but proved to be an effective impact substitute for Zinedine Zidane's side.
The emergence of Marco Asensio, however, could limit the 26-year-old's game time next season and the Madrid manager is understood to be open to his departure.
As Vazquez considers a move elsewhere, compatriot Rafa Benitez has also shown an interest in the winger. The Newcastle manager is looking to bolster his attacking options as the Magpies eye a sustained period in the Premier League.
Although the Spaniard is clinging on to a small hope that he can force his way into Zidane's starting XI next season, Vazquez now has to choose which option will be the best for his career.