Lazio boss Edy Reja hinted that he might not have Zarate for the entire season and his agent confirmed this was possible.
"Zarate's price-tag is 20m and he is absolutely not for sale at below that sum," Beppe Bozzo told RMC Sport.
"Nobody, so far, has offered that. This is why he's staying at Lazio."
There have been reports of interest from Paris Saint-Germain, who would be willing to spend that sum.
"I met Leonardo a few weeks ago in London for the Emirates Cup, but he didn't ask me anything about Zarate.