The 30-year-old was absent from Los Blancos' first day back at their training base, sparking fresh rumours of a January exit with the window due to open on Monday.
Madrid have released a statement to explain why Benzema took no part, however, with the injury expected to keep him out of action for up to three weeks.
"Following tests carried out on Karim Benzema by the Sanitas Real Madrid Medical Services, he has been diagnosed with a muscular injury in biceps femoris of his right leg," a club statement read. "His recovery will continue to be assessed."
Benzema, heavily linked with a move to Arsenal over the past 18 months, has scored just two goals in 12 La Liga outings this term.