The Blues will spend January looking to reduce their first-team squad after making a number of high-profile additions in 2020.
However, La Lazio Siamo Noi claims that the Premier League outfit are monitoring Moro's situation at Stadio Olimpico.
The 18-year-old, a former member of the Barcelona youth setup, has made just one substitute outing since making the move to Italy.
With that appearance coming back in July, the report suggests that the teenager has started to consider his long-term future.
Chelsea are said to be among a number of teams who are contemplating a move for the winger, who has 18 months left on his contract.