But the Brazil international insists he's happy with AS Monaco.
Ahead of their Champions League tie with Bologna, Vanderson said of the rumours: "I'm happy.
"It means I'm working in the right way. But I have a long contract here and I'm focused on Monaco."
Asked about a future move to Serie A, Vanderson also said: "I like it a lot and I've always followed it because of the many Brazilians, including Kakà. It's a difficult championship, very tactical, an aspect that I love a lot."