The 26-year-old joined the Hornets on a season-long loan last August to reunite with former Sporting boss Marco Silva.
He began well at Vicarage Road but has slipped down the pecking order after Silva's dismissal, with only three Premier League appearances this year.
Benfica president Luis Filipe Vieira recently stated that the winger would probably stay with the Hertfordshire club after the expiry of his loan deal, with a 20m euros permanent deal mooted.
However, reports from Portugal now suggest that his lack of action for Watford could mean that any move has been scuppered and he will return to the Stadium of Light in the summer.
Gerard Deulofeu's arrival on loan has seen his game-time reduced, but the Spaniard's injury might mean a second chance for Carrillo to push for a permanent transfer to the club.