According to Mundo Deportivo, via TeamTalk, Atletico are worried that Chelsea will meet his £88m release clause in the summer and bring him to England.
The report claims that Arsenal and Chelsea could both match the fee, as they both look to find a new number one for next season.
Arsenal are looking to replace Petr Cech, who appears to have past his best days at The Emirates.
Meanwhile, Chelsea could look to sign Oblak if Thibaut Courtois decides to leave the club, with Real Madrid and PSG said to be interested in the Belgian stopper.
Oblak is regarded as one of the best goalkeepers in Europe and has been a rock between the sticks for Madrid since he joined the club from Benfica.
Atletico would look to sign Roma goalkeeper Alisson as his replacement.