The striker was released from his Sunderland contract in January after an unsuccessful five-month spell.
And reports from Italy claim he will join Lazio on a deal until the end of the season.
Saha confirmed on his Twitter page he is on his way to the Italian capital, saying: "In Paris, now for Rome. Good morning."
Lazio this week lost forward Miroslav Klose to a knee injury which will keep him out for up to two months.