According to L'Équipe, the Saudi club see the powerful Senegal international as a potential option in central midfield amid uncertainty over whether Franck Kessié will stay at the club beyond this season.
Villarreal, though, would only consider a sale for a substantial fee, and any departure would force the Castellón club into the market for a replacement, albeit with the financial strength to do so comfortably.
Gueye's rise has been steep over the past year: strong performances for Villarreal were followed by a prominent role at the Africa Cup of Nations and further eye-catching displays for Senegal at this summer's World Cup, all of which have combined to put him firmly on the radar of Europe's bigger clubs as well as Saudi suitors.
Villarreal have long known he would attract interest, but no firm offers have yet landed at the club's offices this summer despite the widespread speculation. A sale in the region of €40m, the figure being discussed at the Yellow Submarine, would give the club significant funds to pursue a replacement.
Al-Ahli have shown before that they are willing to spend at the top end of the market, having previously paid €42m to Brentford for Ivan Toney and €50m to Porto for striker Galeno.
This summer they have already committed close to €40m to sign Portuguese winger Francisco Trincão, their most significant addition of the window so far. The Saudi club were also linked with Marcelino García Toral as a potential head coach earlier in the window, though that move ultimately failed to materialise.