Jokic is entering the last year of his contract at the La Liga side, who are thought to be ready to cash in.
The left-back spent the second half of last season on loan at Nottingham Forest, and so is familiar with the Championship.
Nottingham Forest's Bojan Jokic in action with Birmingham City's Jon Toral
He signed as a replacement for the injured Dani Pinillos, and settled instantly at the City Ground.
The 30-year-old started 19 games for Forest, and made a further two appearances as a substitute.
England's Joe Cole (L) and Slovenia's Bojan Jokic in action
He is experienced at international level, with 78 caps to his name for Slovenia, and has faced England on a number of occasions.
Sheffield Wednesday came close to winning promotion to the Premier League last season, reaching the play-off final at Wembley.
Jokic is an interesting name as a potential signing, and his arrival would spell bad news for Jeremy Helan, who was sent on loan to Wolves late in the season.
Jeremy Helan of Sheffield Wednesday in action with Gaetano Berardi of Leeds United