The 24-year-old - a graduate of the Liverpool academy - has been with the Midlands outfit since 2015, when he joined in a £2m deal from Huddersfield Town.
Wolves have brought in 11 new faces this summer so far under the stewardship of new manager Nuno Espirito Santo, with six of the new additions coming in the backline.
Coady's future has thus far not been called into question, however, and he was handed the captain's armband by Nuno for the club's win over Middlesbrough last weekend.
According to Football Insider, Championship newcomers Sheffield United have now made an "ambitious" bid to lure Coady, who featured for the Blades on a loan spell from the Reds in the 2012-13 season.
Coady has made 78 Championship appearances to date during his time at Molineux.