The Arsenal defender has been the subject of interest from Barcelona with reports in Spain claiming Ernesto Valverde wants to bring him to the Nou Camp.
And according to Spanish publication Diario Gol, Real Madrid are concerned the young talent could be heading to Barca.
Barca are set to splash the cash this summer to bring in the players Valverde wants and there is concern at the Bernabeu that their La Liga rivals are building something special.
And the report suggests Madrid chief Perez has approached Wenger to seek assurances about Bellerin’s future.
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Although Madrid are not said to be interested in the 22-year-old Perez wants to be in the know surrounding Barca’s plans.
And Diario Gol claim Wenger has firmly told Perez that Bellerin will not be leaving for Barca with the Spaniard happy in north London.
Bellerin, a product of Barca’s La Masia academy, recently admitted it was flattering to be linked with a return to the Nou Camp but wants to remain loyal to Wenger.
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“It’s nice there are a lot of big clubs that are interested in me, but if one of those is Barcelona, that’s special,” he said.
“I don’t forget I grew up in that home and I will never forget my stay at Barcelona.
"The loyalty to this person [Wenger] is worth more than money, it's something very important to me, that he's there carries a lot of weight for me."