Gus Poyet is desperate to keep hold of the young forward but the club will be stunned by Wickham's decision to reject a new deal, with just 12 months remaining on his current contract.
The England Under-21 striker has struggled to make himself a regular at the Stadium of Light since making the £8 million switch from Ipswich in 2011, until the end of last season when he put in some inspired performances to help Sunderland stage a remarkable recovery from looming relegation.
However, that does not seem have settled Wickham, and the Southampton and Leicester target could be set for a move away if terms can not be agreed.
He would not be guaranteed first-team football with a move to the Saints, as Ronald Koeman's new-look side will take some time to gel, and with Graziano Pelle already signed - Wickham would not be the man to lead the line on a regular basis.
Newly-promoted Leicester could offer him a more important role within the squad as Nigel Pearson's side look to impress in their first Premier League campaign for ten years.
David Nugent was key to The Foxes Championship success last season as he scored 20 goals in 46 league appearances, but the arrival of Wickham would certainly add healthy competition for places.
The young Sunderland striker would have the chance to nail down a regular starting spot in a Premier League side, and this could be tempting him more than staying with the Black Cats.
He scored eight goals in 11 Championship appearances with Sheffield Wednesday during a loan spell last season before returning to Sunderland to play a crucial role in their survival.
Poyet will be hoping terms can be agreed if they can renegotiate a new contract but if Wickham sticks to his guns, Leicester may be the side in the driving seat.