Izvestia says Caicedo has fallen out of favour at Lokomotiv following the arrival of new coach Leonid Kuchuk and is already looking for his next destination with the Hammers and Serie A side Lazio both interested.
The player's agent, Jose Chamorro, said: "Caicedo's game has long earned the attention of many European clubs.
"Naming any specific team does not make sense, but I don't mind saying that there are clubs from Europe's leading championships interested.
"However, I should note that Felipe respects his current contract with Lokomotiv and he will leave only in the event that the club are satisfied with the proposed terms."
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