The Belgian is out of contract in July and rejected United’s first offer of a renewal in December.
Mourinho is desperate to keep the Belgium international and was hoping to use this week’s mid-season training camp in Dubai to convince him that his future was at the Theatre of Dreams.
However, Fellaini has informed Mourinho that he wants a new challenge and will walk out of the club at the end of the current campaign, according to the Sun.
Fellaini has big money offers on the table from China and Turkey and United most now decide whether to cash in on him this month or let him run his contract down.
The Belgian’s just returned from a knee injury after missing the last 11 matches but his shock revelation is untimely news for Mourinho.
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The United boss is keen to strengthen in midfield but he was counting on Fellaini staying next season and is now likely to want an extra midfielder in the summer transfer window.
As well as additions in midfield, Mourinho wants to sign two full-backs.