According to Marca, he hasn’t shown up for Al-Ittihad’s pre-season training camp after struggling to settle in the Middle East.
The veteran forward missed several training sessions at the end of last year and has been punished for his ill-discipline.
Benzema joined Al-Ittihad last summer on a free transfer after spending 14 years at Madrid.
He made a good start at the Jeddah-based side, bagging nine goals and five assists in 15 league appearances.
However, his team are languishing in seventh place after winning the Saudi Pro League (SPL) title last term.
Benzema and Henderson are both on massive wages in Saudi Arabia, and their respective clubs are unlikely to be willing to allow them to leave cheaply.
Their eagerness to leave the Middle East is a blow to the SPL, which is desperate to become one of the top leagues in the world.
The climate, culture and poor attendances have been cited as the primary reasons behind the players wanting to leave Saudi Arabia.
Despite this, their unwillingness to remain loyal to their new paymasters has attracted derision from fans in Europe and they will likely receive plenty of stick if they return.
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