The Owls have yet to formally announce their pre-season plans.
Sheffield Wednesday fans flock to Hillsborough for last month's play-off semi-final
The Portuguese publication, which cites unspecified English reports, claims the fixture will take place on Wednesday 20 July at Hillsborough.
The current Primeira Liga champions are due to spend that week at the National Football Centre, which is situated around 60 miles away in Burton, and is where the Owls played Steaua Bucharest in 2013.
Eagles fans celebrate another title win
The Championship side have strong links to the Iberian nation, from which head coach Carlos Carvalhal, much of his coaching staff and three first-team players hail, and where the club hosts its annual training camp.
Carvalhal is a former manager of Benfica's city rivals Sporting CP
Wednesday, who lost to Hull City in last month's play-off final, are yet to formally announce their pre-season plans.
The Owls' extended campaign has also led to a delay in their retained list being published.
Goalkeeper Lewis Price, Portuguese midfielder Jose Semedo and striker Caolan Lavery are the three senior players out of contract at Hillsborough.
Lavery, who's barely featured under Carvalhal, was linked with a move to Coventry City by the Sheffield Star on Monday.
Lavery has offers, according to the Star