The 30-year-old was unable to seal his move to Al Nassr, who had presented him with a three-year contract.
The deal would have netted the player £9million while Chelsea were due to receive a transfer fee of £8m.
Ziyech failed a medical after a knee problem was identified for the second time this year.
The same issue was raised in January when Ziyech was on the verge of a loan switch to Paris Saint-Germain.
The French champions seemed willing to push through with the move regardless but eventually failed to get the deal over the line due to administrative issues.
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The Moroccan's aborted move to the French capital robbed him of the opportunity of teaming up with Lionel Messi.
And lightning appears to have struck twice for Ziyech who will miss out on featuring alongside Cristiano Ronaldo at the Saudi Pro League club.
Ziyech has played a bit-part role for the Blues this season despite a superb showing for Morocco at the World Cup.
Chelsea were willing to grant the unhappy Ziyech his move for a cut-price fee following the arrivals of Christopher Nkunku and Noni Madueke.
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Ziyech signed for Chelsea from Ajax for £33m in 2020 after impressing under former boss Erik ten Hag.
He made 24 appearances last season with the majority of them coming from the bench.
The winger still has two years to run on his existing deal and whilst the door is not yet fully closed on a move to Saudi Arabia, his future at Chelsea appears bleak.