The report claims a Bilbao delegation travelled to England to watch him in action after receiving word that Azpilicueta was open to a return to Spain.
The Spaniard was struggling to get a game at Stamford Bridge at that stage, but his situation has turned 180 degrees.
Azpilicueta has enjoyed a recent run in the team following the surprise 2-0 defeat suffered by Chelsea against Newcastle. Jose Mourinho dropped Ashley Cole following that match, with Azpilicueta continuing in his place.
The former-Marseille right-back signed for Chelsea in 2012, and has since made 31 league appearances for the Stamford Bridge side.
A product of the Osasuna youth academy, the Spain international was reportedly keen on a La Liga return, with high flying Athletic Bilbao among those interested.
Currently fifth in the top flight, Athletic Bilbao are looking to strengthen an otherwise leaky defence in the January window.
The club have conceded 18 goals alreadth this term, the second highest total for a club in the top half.
Azpilicueta, from the Basque city of Pamplona, has made only four Premier League appearances so far this term - his start against West Brom was his first of the season in the league.