Blades boss Chris Wilder wants another centre-back to be brought in before the transfer window closes and the Premier League side have cast their eyes towards Italy.
Fulham are keen on taking Colley to the capital, while he has also been linked with a host of other clubs throughout the transfer window, including Celtic.
Sheffield United now want Colley too, according to Italian journalist Nicolo Schira, and are looking to loan him.
Both Fulham and Sheffield United have been in touch with Sampdoria to offer to loan Colley with an option to buy.
However, Sampdoria president Massimo Ferrero does not want to let the defender exit the club on loan.
He is clear that if Colley does leave then it will be on a permanent deal.
And the Sampdoria president has slapped an asking price of €12m on the Gambia international’s head.
The ball looks to be in Fulham and Sheffield United’s court over going back in with another proposal.
