The midfielder had been with the Gunners for the past two seasons after Real Madrid agreed to send him out.
Ceballos’ time in north London is at an end and he now wants to stay in LaLiga, even if he has to leave Los Blancos once more.
The Spaniard has also heaped praise on Arsenal boss Mikel Arteta, whom he believes will become one of the best managers in football despite a difficult first full season in charge at the Emirates.
“Arteta is a coach who has been with [Pep] Guardiola for a few years,” Ceballos told Cadena SER in Spain.
“He is a coach who in a few years will be one of the best, but I would like to return to La Liga.
“I believe that this year I have hardened a lot as a player and I think now is the time to settle in a club with a long contract and be able to show my game.
“[Carlo] Ancelotti has just arrived and we have to talk. I have never met him, but there are players who speak well of him. I’m sure that Madrid will be good.
“It is clear that the first thing is to talk to the coach and find out what he wants from me and also tell him what I want, which is to be important.
“I am not going to the European Championship and soon there will be a World Cup. It has to be a talk between the two with clear things.”