The 31-year-old's contract with the Eternal City outfit expires this month and he is set to return home.
"I will return to play my football in Brazil, but not with Sao Paulo," Cicinho said to Gazzetta dello Sport.
"I have spoken with my agent and he is in advanced talks with a club from the south of the country."
Cicinho joined Roma in August 2007 from Real Madrid but failed to earn a regular place in the Giallorossi outfit.
He had loan spells at Sao Paulo and Villarreal before returning to Roma last summer.
The South American made just two league appearances for Roma in the 2011/12 campaign.