As per Italian newspaper Gazetta dello Sport, I Biancocelesti are looking for a tall, powerful striker and the 22-year-old is on a shortlist of players.
Cosgrove, who came through the ranks at Everton and Wigan, ended last season with 21 goals in 44 games, and has continued his efforts with nine goals from eights so far this term. He is under contract at Pittodrie until 2022, and has already been the subject of reported interest.
Dons boss Derek McInnes said earlier this month: "We’ve had enquiries about Sam from other clubs but he will be staying with us this season. "
There is nothing to indicate whether Lazio were one of the clubs to enquire about the former Carlisle striker, but the Pittodrie side face an anxious few days until the end of the transfer window.
Former Tottenham striker Fernando Llorente and Gent's Russian forward Roman Yaremchuk have both been linked with Lazio over the past few days.