Hazard has been linked with Madrid throughout the season and the Belgium international is now reportedly set to swap Chelsea for the Santiago Bernabeu in a €130million deal.
"How are we supposed to talk to a club who are playing in a final?" Perez replied during his interview with Onda Cero's El Transistor.
"We've been trying for a number of years to make Hazard a Real Madrid player, but we haven't achieved it yet.
"I'd really like Hazard to come to Real Madrid and really hope he does. He is one of the best footballers."
It is set to be a busy transfer window for Madrid, with head coach Zinedine Zidane poised to overhaul a side that finished third in LaLiga and bowed out of the Champions League in the last 16.
Paris Saint-Germain pair Kylian Mbappe and Neymar have both emerged as possible targets for Madrid.
"I haven't spoken with Zidane about Mbappe or Neymar, nor have I with anyone else," Perez said. "Nor have we spoken with Mbappe, nor will we.
"Last year we said we didn't want them and this year is the same. If we want a player, we'll speak to their club."
Perez, who denied Atletico Madrid's wantaway star Antoine Griezmann has been offered to Madrid and said the club have not received offers for Gareth Bale, added: "We're not thinking about players.
"We have to meet with Zidane and see what we want to do. We have to buy and sell. I won't talk about any player."