The 25-year-old struggled for game time last season, which means he may be looking to move on to another team.
The source suggests a formal offer has not been made, but Leeds have declared their interest.
Wolves will respond with a valuation or letting Leeds know the player is not for sale.
Costa was a star for Wolves when he was on loan in the first half of 2016/2017.
But since his deal was made permanent in January 2017, he has only managed nine goals in 71 league games for the club.