As it stands, neither side has officially confirmed the move, but the 21-year-old has revealed that he is heading for Madrid to complete a medical.
"I wanted to sign for Atletico Madrid. Since I was a kid, I always wanted to play in La Liga, which is better than the Portuguese league. This is a new challenge that I wanted to grab with both hands," Inside Spanish Football quotes Oblak as saying.
"Benfica wanted me to stay and the president has done everything possible, to convince me not to leave, but it was always my intention to join Atletico Madrid.
"I will never forget the years I've been with Benfica. I wish them all the best and appreciate all the help they've given me. Benfica is a fantastic club."
Atletico will reportedly pay £13m for the stopper.