Pelle scored 27 goals in two seasons at St. Mary's
Pelle is said to be keen on the move to an as yet undisclosed club, which the Mirror understands to be Shandong Luneng.
The report claims Southampton will receive £13 million for the Italian international, who stands to earn nearly half that (£6 million) per year in wages.
Pelle, who has a year to run on his Saints deal, had been tipped to link up with former bosses Antonio Conte and Ronald Koeman at Chelsea (Mirror) and Everton (Liverpool Echo) respectively.
Italy boss Conte is taking over at Stamford Bridge
The 30-year-old, who played under the Dutchman at Feyenoord and Southampton, is also said to have snubbed a return to Italy with Juventus and Lazio.
Koeman left the Saints for Goodison Park this summer
The report claims Pelle expressed a desire to leave St. Mary's in January, prompting the club to move for QPR frontman Charlie Austin.
New boss Claude Puel also has Shane Long and Jay Rodriguez to call upon this coming campaign, which will soften the blow of losing their top scorer for each of the past two.
Frenchman Puel is the new man at Saints