Spurs coach André Villas-Boas said after the club's 1-0 win against Swansea on Sunday he expected Bale to report on Tuesday if his move to Madrid had not gone through.
Bale, 24, spent two days in Marbella, at the weekend, expecting the deal to be concluded but flew back to the UK on Monday.
Earlier this summer, Bale was described as "unhappy and disappointed" by Villas-Boas' comments earlier in the month, when the Portuguese said "rumours of an imminent transfer are not true".
And now Bale has risked exacerbating his relationship with the club as he digs in his heels with six days to go until the transfer window shuts.
Madrid have built a stage at the Santiago Bernabéu where they hope to unveil Bale in the next week. The transfer fee, expected to be a world record, could be around £85 million.
Bale has agreed to sign a six-year contract in principle, worth £8.5m a year net.