Napoli made their move after the €75m sale of Khvicha Kvaratskhelia to PSG.
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The attacker's agent, Mario Giuffredi, told Radio Kiss Kiss: “It is true, Napoli showed interest.
“However, he never considered leaving Lazio and the club didn’t think about a separation either.
"He had only just renewed his contract six months earlier, he wants to become a symbol of Lazio and never thought about leaving the Biancocelesti.”
Zaccagni's contract with Lazio runs to 2029.