Icardi was linked with Real Madrid last month, but remained with Inter.
Ole says Jose Mourinho and United have set their sights on the centre-forward. Icardi's contract carries a €110m buyout clause.
He turns 25 later this month and yet is a veteran, scoring 96 goals with 23 assists in 170 competitive games for Inter.
So far this season, Icardi has scored 18 goals in just 22 Serie A appearances.