Forced out of AC Milan at the end of last season, Pioli took charge of Saudi Pro League club Al-Nassr in September, succeeding Luis Castro.
Sportitalia says Pioli is now wanted back in Italy, where Roma are keen.
Roma coach Claudio Ranieri will step aside at the end of this season to take up a management role and Pioli is being considered as his replacement.
Pioli previously coached local rivals Lazio, where he was between 2014 and 2016. It's suggested he has struggled to settle in Saudi Arabia this season.