The Molineux side are backing new boss Julen Lopetegui and recently brought in attacker Matheus Cunha from Atletico Madrid.
Lopetegui now wants Wolves to add to his midfield options by signing former Southampton man Lemina in the January transfer window.
They have put in a bid, which has been turned down, according to French journalist Saber Desfarges.
The proposal put on the table for the midfielder came in at nearly €5m, but it was quickly rejected by Nice.
However, Wolves will not give up the chase and are expected to return with a new offer for Lemina soon.
Lemina, 29, has made 12 appearances for Nice in Ligue 1 so far this season, picking up a sending off in the process, against Clermont.
He has significant Premier League experience he could bring to Wolves, with a total of 74 outings in the English top flight, for both Southampton and Fulham, respectively.