The Egyptian international defender said he failed to adapt to living in the Gulf country and is considering his options to depart in the summer.
"I have offers from Turkey and Greece as well as a bid from Tunisia's Esperance. Ahli have also expressed their interest through a club's board member," Azmi told FilGoal.com.
Azmi started his career with Cairo powerhouse Zamalek before joining Greek outfit PAOK Saloniki where he spent three successful seasons. He then moved to Al-Shabab but fell out with Portuguese boss Jose De Morias.
When asked about the prospect of joining Zamalek's arch-rivals Ahli, Azmi said he has the utmost respect for the former but sees no reason to turn down the opportunity of playing with the Red Devils.
"Zamalek have played a key role in my development since I was young but we currently have a professional system that witnessed many players from Zamalek joining Ahli and vice-versa."
"My negotiations with Ahli are not something to be ashamed of. Anyway, I have three years left on my contract with Al-Shabab who will have the final word regarding my next destination.
"Definitely they will opt for the highest financial bid," Azmi concluded.