According to Sport (h/t Sport Witness), the right-back "cannot stand" life at the Emirates Stadium and wants a new challenge at the end of the season.
It's noted that Bellerin appreciates engineering an exit may be challenging, although "bad dynamics" at Arsenal have made his mind up that he wants out. Sport said the Bianconeri are said to have made an approach for the player.
In November 2016, the 22-year-old committed his future to Arsenal in the form of a six-and-a-half year deal, so there's little pressure on the Gunners to cash in.
Bellerin moved to Arsenal from Barcelona when he was 16, and since being handed a chance by manager Arsene Wenger, he has established himself as one of the best right-backs in the Premier League.
As noted by James Benge of the Evening Standard, he's key to the Arsenal setup:
The Spaniard has been one of Arsenal's most consistent performers in what has been an extremely disappointing season.
He provides a tremendous presence on the right flank, as he regularly raids into the final third with attacking intent. The right-back's searing pace makes him difficult to track on the outside, and he is regularly a crucial outlet for the team.
While there are still parts of his game that need work, Bellerin is steadily improving his end product when he does march forward.
Given his talent, his age and the fact he is tied down to a long-term deal, any potential suitors for the full-back would have to shell out huge money to get Bellerin out of Arsenal.
Bleacher Report's Gianni Verschueren believes the Serie A side would be able to find better value elsewhere:
With Arsenal set to miss out on Champions League football for the second consecutive season, it would be no shock if more stories of this nature emerged ahead of the summer.
The Emirates Stadium has been a toxic environment at times this season, and Wenger is coming in for some significant criticism from supporters. High-class players like Bellerin will want to showcase their talents in the top tier of European football, too.
It's still difficult to envisage Bellerin moving anywhere in the summer, as the Gunners would command an extraordinary fee. While he's not been at his best this season, finding a replacement capable of replicating Bellerin's influence would be a big challenge.