Portuguese striker Leao, 21, joined Milan from Lille last summer for a reported fee of €35m.
After some issues adjusting to life in Italy, Leao began to flourish following the arrival of Zlatan Ibrahimovic in January.
Before Ibra’s return to the San Siro, Leao managed just one goal. But after the Swede joined, Leao scored five and assisted one goal in 15 appearances.
Leeds want to give Bielsa at least two attacking signings in the transfer window to make sure they are well equipped for the top flight.
And the club’s Italian owner Andrea Radrizzani has contacted Milan to explore a deal for Leao.
Leeds are now waiting for a response from the Rossoneri, who would prefer to hold on to Leao.