The Real Valladolid striker, who is out of contract at the end of the season, was reportedly a target for Ole Gunnar Solskjaer's side during the transfer window, although a deal couldn't be agreed before the deadline.
However, Guerra's agent Pepe Mesas says that he has almost finalised terms with a "foreign club".
"We have practically closed an agreement with a foreign club but this announcement does not rest with us," Mesas is quoted as saying by the Daily Star.
"The player is totally committed to Valladolid until the last day of this season."
The newspaper says that Guerra could sign a three-year contract with the Bluebirds.