The Blues are interested in bringing Madueke to Stamford Bridge in the summer as they look to overhaul their forward line and continue their big spending under Todd Boehly.
PSV are reluctant to sell the 20-year-old, particularly should a January bid come in, having already sold Cody Gakpo to Liverpool this window.
Madueke has made only one Eredivisie start this season as a result of injury problems but is highly-rated, and has four England U21 caps to his name.
Reports in the Dutch media suggest PSV would only be willing to accept a fee of €40m or more, and it remains to be seen whether Chelsea want to match that figure to bring him to the Premier League.
While PSV want to hold on to Madueke for as long as they can, Van Nistelrooy has admitted a bid could come in that forces the club to sell.
“I know there is interest,” the PSV boss said via De Telegraaf. “This is due to its qualities and performance. It’s worrisome.
“We need to see if we can keep him. I very much hope for that. We must do everything we can to do that. You also know that things can take off, if the purse is pulled hard.
“Then you have to be ready with several options, because then you would lose the second player in the winter. But as a coach you would rather keep your best players.”