The striker, who joined the Bluebirds last summer, has failed to force his way into Malky Mackay's starting XI.
"I want to move somewhere where I will be able to play, as I surely won't get any chances at Cardiff," he told Nogomania
"I had an offer from Portugal, but the club said no. I don't know why.
"I also don't know why I'm not playing at all. I don't believe the problem is me. I would really like to play. To get a chance at least."
Last month Velikonja denied that he was looking for a transfer.