The Israel international has been looking for a club since being released by Chelsea in the close-season.
Benayoun has been linked with a possible move to join Championship side QPR, but he could now return to Spain where he previously had a three-year stint with Racing Santander.
However, as the 33-year-old holds a non-EU passport, Casado confirmed one of the club's three non-EU players would have to be moved out to make space for Benayoun.
Speaking to La Opinion De Malaga, Casado said: "We are in contact with some interesting players.
"One of them is Benayoun, but he's not already signed.
"He is a non-EU player and if he comes, one of the other non-EU players, Weligton, (Roberto) Chen or (Pedro) Morales, should leave."
Malaga have had an inauspicious start to the season, taking 13 points from as many La Liga fixtures, a return that leaves Bernd Schuster's men in 14th position.
They resume their league campaign at home to Athletic Bilbao after the international break.
