Wigan boss Roberto Martinez is looking to bolster his goalkeeping options, with only Mike Pollitt providing back-up to No.1 Ali Al Habsi.
Martinez has been scouring the transfer market for a new keeper and Cobeno has come onto his radar.
The 30-year-old has found his first-team opportunities limited this season, making just eight appearances for the Primera Liga side.
The former Sevilla goalkeeper's contract at Rayo expires this summer and it is thought he could be allowed to leave on a free transfer this month.
Martinez has already brought in Honduras midfielder Roger Espinoza and Manchester United's on-loan striker Angelo Henriquez this month and he is now weighing up a move to bring Cobeno to the DW Stadium.