Le 10 Sport says Wolves have opened talks with Atletico about a fee for the France international. Negotiations are being driven by super agent Jorge Mendes, who is close to both clubs.
Wolves are keen to secure Lemar in a permanent deal, though Atletico are insisting on top price.
Everton were also interested, but pulled out of talks due to Atletico's valuation.
Lemar isn't in the first-choice plans of Atletico coach Diego Simeone and has struggled for form and fitness since his move from France.