The paper reported that representatives of the seven-time European champions and the player's agent had held a meeting recently to discuss the Russian forward's possible move to Italy. It also said that a number of other top Italian sides, including Juventus and Inter Milan, were interested in the player.
Zenit earlier announced however that it would not discuss any transfer bids through the player's agent.
The UEFA Cup holders, owned by Russian state-run energy giant Gazprom, rejected bids this summer from Barcelona and Tottenham as "too low." When Tottenham eventually offered to meet Zenit's asking price of some $36 million they were told it was too late. Zenit were also dissatisfied with the London club's offer to pay the sum in installments over four years.
Arshavin, who came sixth this week in a poll to find the European Footballer of the Year, said recently that he would not play for the side anymore, stating that if the club refused to release him this winter then he would remain a Zenit player "on paper only."