According to Roggi, newly-promoted Seria A side Siena have also expressed an interest although the agent insisted that the striker would always favour a return to England.
Roggi said: "We are talking to a couple of clubs - Leeds and Siena - although nothing is concrete.
"I am on holiday but we will try to sort things out after that."
Bringing Di Canio to Elland Road would be perceived as a huge gamble for boss Peter Reid.
The Italian had a series of well publicised spats with Hammers boss Glenn Roeder last season and only showed glimpses of his best form.
However, the move may go some way to appeasing disgruntled Leeds fans, who have seen a mass exodus of players from the club recently.
Is Di Canio the right player for Leeds? Click here to share your views.