The striker is currently on loan at the Hammers from Juventus but he has struggled to adapt to the Premier League.
It has sparked rumours that the 25-year-old is ready to return to Italy in January and Napoli have already shown an interest.
However, according to Calciomercato, Milan are also working hard on bringing Zaza to the San Siro.
The Italian club have been tracking the forward since September, when they first heard he could be off in January.
West Ham's decision to cancel Zaza's loan is likely to rest on them signing another striker and they have been linked with Torino's Andrea Belotti and Manolo Gabbiadini of Napoli.