Wolves were said to have earmarked the 24-year-old as an upgrade on their current defenders ahead of the new Premier League season, before reports suggested that the pull of Champions League football had led the right-back to choose Juventus.
Cancelo, speaking to Tuttosport, said that he "does not exclude anything" while the transfer links surround his signature.
"Wolverhampton and Juventus? At the moment I do not exclude anything, certainly playing in the Champions League is my goal," the Valencia defender said.
"I have a contract with Valencia until 2021, so without a club I do not stay anything.
"Until I don't have an official and concrete proposal I can not say anything. Before the end of the season I heard that Inter wanted to buy me outright and that were in contact with Valencia to do it, but then nothing happened."