All three teams are well stocked for options in the centre of the pitch, potentially leaving them to target other areas during the summer transfer window.
However, according to reports in Spain, Real are ready to join the race for the 23-year-old, who has recently been rewarded for his progression with appearances for Italy.
Calciomercato says that City and Juventus are also monitoring the situation, with Locatelli having just over two years remaining on his contract.
Having made 59 appearances for AC Milan as a youngster, the player has since established himself as a key member of a Sassuolo side which has upset some of the biggest clubs in Serie A over the past 12 months.
Sassuolo are said to be demanding in the region of €40m (£34.57m) for his signature.