The former Barcelona and Paris Saint-Germain forward has had an injury-plagued stay in Saudi Arabia, playing just seven times despite a reported salary of around $104 million (£84m) a year.
The source, who spoke on condition that he was not identified, said: "Neymar is discussing his departure with Al Hilal but his high financial demands remain a major obstacle."
Neymar is under contract with the Saudi Pro League club until June.
Reports in Brazil say Santos, the club where Neymar made his name in his now fading career, are in talks for him to return to his homeland but Al Hilal would prefer a transfer while Neymar wants a loan deal.
Neymar, the subject of what is still the biggest transfer in football history when he joined PSG from Barcelona in 2017 for a fee of 220 million euros, joined Al Hilal in August 2023.
He followed fellow superstars Cristiano Ronaldo and Karim Benzema to the lucrative Saudi league.
But two months after his arrival in Riyadh, he ruptured a cruciate ligament in his left knee while playing for Brazil in a 2026 World Cup qualifier, which kept him on the sidelines for a year.
He then suffered a series of hamstring and knee injuries as he tried to return to action for Al Hilal.
The club's coach Jorge Jesus said recently: "He can no longer play at the level we are used to. Things have become difficult for him, unfortunately."
A return to Brazil would likely be the last chance for a player who is his country's all-time leading scorer with 79 goals in 127 matches.