The Italian striker is currently on loan at West Ham United from Juventus, but has been tipped to leave the London Stadium before the end of the January transfer window after struggling in England.
The 25-year-old has only made five Premier League starts for the Hammers and has failed to score in 11 appearances across all competitions since his summer move from Turin.
Valencia are believed to be the frontrunners for the striker's signature, and recently-appointed Voro has confirmed that Los Che are "working on it".
"Our idea is to bring a striker. We are interested in Zaza and he is a real option. Things take time and our club is working on it. We are trying to get him to come as soon as possible. It's a difficult market, but whoever arrives will do so with the idea of improving the team," Superdeporte quotes Gonzalez as saying.
Zaza is expected to move to Valencia on an initial loan deal, which will include the option of a permanent transfer.