The Argentine midfielder was granted a three-day break along with the rest of the squad and chose to travel to Spain with teammates Marc Cucurella and Joao Pedro.
The group attended the Madrid Open tennis tournament, where Fernandez was photographed near Real Madrid star Jude Bellingham, leading to rumours of a potential move to the La Liga giants.
While his long-term future may be a topic of discussion this summer, he remains under contract until June 2032, and the club is prioritising stability as the season concludes.
McFarlane reacts to Enzo’s trip to Madrid
McFarlane has downplayed the significance of the visit, framing it as a positive sign of team unity.
"We gave the lads three days off, and I think it says a lot about the group that they go away together," McFarlane stated.
"I love the fact that they spend time together. They've gone to Madrid to watch tennis, so I don't see an issue with it, honestly."
The interim boss noted that this was not the first time the players had spent their downtime together.
"He was there last year with his teammates again," McFarlane added. "The last time they had a break, they spent time together as well, so I think it's a positive sign for the unity within the group."
With crucial fixtures against Nottingham Forest and Liverpool on the horizon, Chelsea's immediate focus is on a strong end to their campaign.
The team is also preparing for the FA Cup final, where they hope to secure silverware after an inconsistent season.
Fernandez, who scored the decisive goal in the semi-final win over Leeds United, is expected to be a key figure in the season's final stretch.