But he insisted that he wants to stay in Madrid.
"People are saying that I want to leave, but that is nonsense," he declared to AS. "Roma are supposedly bidding for me but if Real Madrid don't decide to offload me then I will not leave.
"[Brazil and Roma keeper] Alexander Doni is a friend of mine, and I also often speak to Francesco Totti. I have told them that I am very happy here."
After reaffirming his loyalty to the club - saying he would play in goal if asked too - Cicinho joked that his wife would leave him if he left Madrid.
"When I told my wife that we might move elsewhere she said I could go alone," he jested.
Cicinho also added fuel to the fire regarding compatriot Kaka's alleged move to Los Merengues, saying that he felt it could happen next season if not this summer.