Sky understands Ulloa has not been offered an improved contract and fears his first-team chances may be limited following Leicester’s activity in the transfer market, including the signing of striker Ahmed Musa from CSKA Moscow.
A number of Spanish clubs are understood to be interested in Ulloa, although the 29-year-old would prefer to remain in the Premier League.
The striker played a key role in Leicester’s march to the Premier League title last season, appearing in 29 games and scoring a number of important goals in the latter part of the campaign.
At the end of February he grabbed an 89th minute winner against Norwich, fired home an even later equaliser against West Ham in April, and banged in a brace against Swansea seven days later.
Ulloa joined Leicester from Brighton for £8m in 2014, having previously played for Almeria.