The 25-year-old Portuguese player was reportedly on the verge of returning to his boyhood club Benfica before Saudi Pro League club Al-Nassr intervened.
Felix had a difficult time establishing himself at Chelsea after joining the team last summer.
He spent the second half of last season on loan at AC Milan, trying to regain his form.
According to reports, Chelsea is set to receive £43.7 million from the sale of Felix to Al-Nassr.
Felix was seen taking in his new surroundings, hoping to get his career back on track at Al-Nassr.