The 22-year-old moved to Los Blancos on a permanent deal from Sao Paulo in the summer after impressing during a loan spell in Spain last season.
However, the Brazilian international has struggled to hold down a regular spot in the Madrid XI thus far – appearing mainly from the bench under head coach Carlo Ancelotti.
"Have I spoken with Inter about Casemiro? Yes, I talked with them whilst I was closing the Hernanes deal in January," Joseph Lee told TuttoMercatoWeb.
"He is doing very well in Spain, but of course he's happy that a club like Inter are following him.
"But since January I have not spoken to the Nerazzurri, and I think it would be too early to give any sort of comment. Casemiro likes the Italian League, but like I say, it's too early to talk about that."
Arsnal have also been linked with the midfielder.