The 23-year-old Slovenian, who is currently on loan at Serie B side Modena, said that he would be open to a move to the Premier League.
"I saw what was written in the media but believe me when I say that I don't know much about this," he told Ekip.
"I cannot hide the fact that it is nice to hear that I'm being watched in England.
"Would I like to move there? Tell me, who wouldn't want to play in one of the strongest leagues in the world."
Lazarevic's agent, Marcel Kacinari, said that interest in his client is strong, but he refused to name any clubs involved in the chase.
"Something is going on," said Kacinari. "There are talks but nothing concrete.
"I can't talk about clubs but I can say that there is interest for Dejan from Italy, England and Spain."
The midfielder joined Grifone from Domzale in 2009 and has previously enjoyed spells at Torino and Padova.