It added it would be making no further comment.
The Argentine-born Italy international striker joined Southampton for a club record fee of 15.0 million pounds ($24.88 million) from AS Roma at the start of the season but he has only scored three times in 12 appearances so far.
Earlier this month he was fined 40,000 pounds and banned for three matches by the English FA for his part in a touchline fracas against Newcastle in December.
Last week Southampton rejected an approach from Inter Milan to sign him on a loan deal.
(Reporting by Mike Collett, editing by Pritha Sarkar)
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