While the versatile wideman has spent pre-season back at Stamford Bridge, the Brazilian has not featured during Chelsea's opening three Premier League fixtures.
Manager Frank Lampard is said to be happy to part ways with the 23-year-old, who may not feature in the club's Champions League squad due to the limit of foreign players.
According to Sky Sports Italia, Kenedy is now holding discussions with Sassuolo as the Italian side bid to boost their options on the left flank.
Kenedy has less than a year remaining on his contract, although a loan departure would likely see a short extension to his current terms.
Twenty-eight appearances have been made in the Premier League during two similar spells with Newcastle United since the start of 2018.