Wright joined Leicester's Academy while Peter Taylor was the Foxes boss, but didn't make his debut until after Taylor parted company with the club.
The 6ft striker has only made a handful of starts for the club, with most of his chances coming from the bench. He also went on loan to Brentford in 2003/04, and has represented England at Under-18 and Under-19 levels.
The rumours are unconfirmed at the moment.