The Italian club, which could confirm qualification for the Champions League at the end of the season, are looking to add depth to their team in the next transfer window.
A recent report linked Jonny Castro Otto to Lazio, and Dendoncker is also said to be a target.
The Gazzetta dello Sport (via Sport Witness) says that Dendoncker would be able to settle in Lazio’s midfielder if he took the step.
However, such a movement should not receive the support of Nuno Espirito Santo. The Wolves boss is a big fan of Dendoncker and has played in 46 of the club’s 48 games this season.
Dendoncker, 25, joined Wolves for £ 12m from Anderlecht last summer after a successful loan.