Lavezzi has been linked with the Paris giants.
"There's nothing concrete in it, nothing official," Leonardo told Sky Sport Italia.
"All the clubs are studying each other, as it takes a move from someone to then spark the other transfers. We're still at the start.
"My first year at PSG was good. The transfer market is unpredictable and can move quickly. There are three months to go in trading and we want to reflect carefully before making a move."