The 27-year-old striker is not believed to be injured, but his time in Italy with the rest of the Black Cats squad has been cut short.
Graham has been strongly linked with a move away from the club, and Hull City boss Steve Bruce has confirmed his interest in the player in recent days.
Graham is not believed to feature highly in the plans of Sunderland boss Paolo Di Canio, who has already bolstered his striking options this summer with the signing of Jozy Altidore.
Graham joined Sunderland from Swansea in January when they paid £5million for his services, but in 11 league games he is yet to score for the club.
Bruce admitted earlier on Tuesday Graham is a "very good player" and is reported to be keen on a season-long loan deal.
"There's lots and lots of players and it's always wrong for me to talk about them, but Graham is someone where there's been a bit of interest," he told the Hull Daily Mail.
"He hasn't had the best of times in the north-east but he's a very, very good player. Whether it's possible, who knows? It's something that we're looking at but we haven't done anything just yet."