Marcelo Bielsa could be looking to bolster his strike department this summer especially if either of Patrick Bamford or Kemar Roofe leave the club.
And it seems the Whites have turned their attention towards signing the former Manchester City striker.
Caicedo is a vastly experienced forward who has played for clubs like Basel, Espanyol, and Lokomotiv Moscow in his career.
Last season he scored eight goals in the Serie A, but he wants to move on in the summer transfer window.
Caicedo has only a year left on his Lazio contract and therefore Leeds can sign him on the cheap.
The report claims that Leeds are looking to make a move for the 30-year-old on the request of Bielsa and that talks could take place in the coming days.