Hazard, who was a fan favourite at Stamford Bridge, left for Spain in the summer in a £83.5million transfer.
The 28-year-old has not had an entirely successful start to life at Madrid under Zinedine Zidane and has scored just one goal in 13 appearances.
While meeting Chelsea fan Frank Khalid at the Real Madrid training ground, Hazard said he would go back to the West London club.
Told that Chelsea miss him, Hazard replied: “When I finish here I’ll come back.”
And Hazard also revealed he is keeping tabs on his old club whenever he can.
He said: “When I can I watch. Not all the time.
“But they are doing well, they’re young. Now they can pay for players, they can buy players now.”