Italian website Tuttomercatoweb claim Lees is a target for the Baggies, who look to have assured their place in the Premier League once again for next season, while Tribal Football report they could offer as much as £7 million for the centre-back.
Lees has been impressive for Sheffield Wednesday since signing from Leeds United, and was outstanding in last night's victory over Blackburn Rovers.
The Owls are currently pushing for promotion from the Championship, and will be reluctant to sell Lees whether they earn a spot in the top flight, or narrowly miss out.
Sheffield Wednesday are in no need to sell either, backed by foreign owner Dejphon Chansiri.
Lees signed a contract extension last year, SkySports reported, which ties his future with Sheffield Wednesday until 2019, which also shows how highly they rate him, and want him to be a key part of their future.
It is not the first time a Premier League side has been linked to Lees. Last November The Mirror reported both Newcastle United and Norwich City were keen on the centre-back.