The 28-year-old is on loan at Cruz Azul in his native Mexico from the Ibrox side, where he is managed by former Rangers boss Pedro Caixinha. However, the ex-Gers manager recently confirmed that Pena would no longer continue with the club after a number of alleged indiscretions.
He had only played seven times in the Mexican league.
It had been reported in Mexico that Pena went missing after the news he was no longer wanted at Cruz Azul, who he signed for in January.
Pena dismissed those rumours with a photo and message on his official Instagram profile.
The message said: “About the information that is circulating of my supposed disappearance, I just want to inform you that it is completely false. Thank god I am good in the company of my family. I appreciate your messages asking how I feel.”
It was a day after the player shared an emotional post about his mother.
Pena, who scored five goals for Rangers in the first half of the season, is due to return to Ibrox at the end of December 2018.