The Wales international "is not in the right mental state to play" after being prevented from moving to Chinese side Jiangsu Suning by president Florentino Perez, according to David Ornstein at BBC Sport.
Real Madrid are scheduled to play Bale's former club Tottenham Hostpur in the semi-finals of the friendly tournament at the Allianz Arena on Tuesday. Bayern Munich and Fenerbahce are the other two teams involved in the Audi Cup.
Bale's move to China would have seen him earn over £1 million a week. The deal was called off by Los Blancos because they want a transfer fee for the 30-year-old, according to John Percy at the Daily Telegraph.
Perez also believed that Bale is "is too valuable a player to let go on the cheap," but the decision to block his move has left the winger "furious," per the report.
Jiangsu Suning have now signed Ivan Santini from Anderlecht, which has killed any hope of a move for Bale, per Sport. Santini's arrival means the club have now reached their quota of five foreign players.
The collapse of Bale's move to China leaves his future uncertain. Real Madrid manager Zinedine Zidane has made it clear that the Welshman is not wanted at the Spanish capital:
Bale's agent, Jonathan Barnett, spoke to La Journal du Dimanche (h/t Glen Williams for MailOnline) about the relationship between Zidane and Bale.
"It's simple, Zidane doesn't like Gareth," he said. "There's no relationship between them. There never has been."
The 30-year-old has three years left on his current Real Madrid contract and is "convinced he will be left to rot in the Real stands while Zidane remains in charge," per Matt Law at the Daily Telegraph.
Ben Hayward at the Evening Standard explained why Bale may find it difficult to find another club:
Bale has won La Liga and four UEFA Champions League titles during his time at Real Madrid. However, injuries have seen him manage just 79 La Liga starts in the last four seasons.
His relationship with Zidane appears to have broken down, and if he cannot find another club before the end of the transfer window, he faces spending the season on the sidelines.