The 22-year-old was once regarded as one of the best talents in Spain, with his performances in his late teens earning him a move to Real Madrid.
Injury problems meant that he moved to Valencia in 2012, but he has been a bit-part player at the Mestalla this season.
"We're paying attention to his situation. Canales is the kind of attacking midfielder we're interested in," the Sociedad boss told Mundo Deportivo. "But there is nothing certain about him coming here yet."
Canales started his professional career with Racing Santander.