The 19-year-old, who joined from Brazilian outfit Fluminense this summer, is currently on a season-long loan at Serie A side Inter Milan where he has figured twice so far this campaign.
Prior to the switch to Stamford Bridge, Wallace's future was shrouded in speculation and although he opted for the Blues, he admits his ambition is still to represent the Spanish giants further down the line.
"I want to play for Real Madrid in the future. They are the team of my dreams since I was little and I would like to play with Cristiano Ronaldo," he told Globo Esporte.
"But I don't intend to go to Real Madrid now. I am still very young and I'll stay in Europe for a long time. I am playing for a big club. I want to stay here or return to Chelsea as I liked them a lot."
Wallace also hailed the impact which Blues boss Jose Mourinho had on him during his short time with the London club so far.
"I like Mourinho a lot as he is, in my opinion, one of the best in the world," he said.
"People told me that Mourinho is grumpy and that he doesn't like Brazilians, but when you know him personally, he captivates you.
"He tries to help everyone during the short time I was there. He praised me, increased my confidence and talked a lot with me."