The Spanish club need to raise money to clear debts owed to players and other clubs while the threat of relegation hangs over them as potential punishment if repayments are not made.
Santi Cazorla looks set to join Arsenal in a £17m deal and Rondon could follow his current team-mate to London in a move to Tottenham.
The 22-year-old Venezuela international scored 11 goals in La Liga last season as Malaga qualified for the Champions League.
It remains to be seen whether the debt-ridden club will compete in Europe in the new season and it is also uncertain whether Rondon will still be in Spain.
He is quoted as saying in The Sun: "If the situation is not fixed, it is normal that players would leave."