Turning up for training with the Welsh national team in Cardiff on Monday, the 24-year-old was met by journalists from Marca and AS.
The two reporters attempted to find answers from the Spurs winger regarding his proposed move to Santiago Bernabeu, but were met with stony silence.
“I’m sorry,” he told Juan Garcia-Ochoa and Marco Ruiz. “But I cannot talk.”
Bale’s transfer to Carlo Ancelotti’s side had seemed a formality earlier this month, but reports suggest that Madrid's interest could be cooling.
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