The 19-year-old Brazilian forward joined Watford in the January this year from Fluminense and made just three Premier League appearances before they were relegated last season.
The teenage talent has made an impression in the relentless Championship this season and has scored five goals in 13 appearances for the club in the English second tier thus far.
His performances in the Championship have piqued the interest of several clubs and Real Madrid are believed to be eyeing a move for him next month.
But it has been claimed Watford are not interested in selling the player after just one year at the club.
Pedro is a highly-rated young forward at Vicarage Road and they do not want to part ways with him just yet.
It has been claimed that they rate him in the same bracket as winger Ismaila Sarr in terms of talent and worth.
An offer of around £40m would have to be tabled even before Watford would consider letting Pedro go.
It remains to be seen whether any club are prepared to fork out such a fee for a player who has made 19 appearances for Watford thus far.