Reports in Italy have stated that the Baggies have been scouting the 23-year-old international.
He has spent the season on loan in Serie B with Modena from parent club Genoa and is now reported to have attracted the attention of a number of clubs.
"I saw what was written in the media but believe me when I say that I don't know much about this," he told Ekipa.
"But I cannot hide the fact that it is nice to hear that I'm being watched in England. Would I like to move there? Tell me, who wouldn't want to play in one of the strongest leagues in the world."
Lazarevic's agent Marcel Kacinari added: "Something is going on. There are talks but nothing concrete.
"I can't talk about clubs but I can say that there is interest for Dejan from Italy, England and Spain."