The 32-year-old has been limited to 14 first-team outings this season after Mauro Icardi’s arrival on a season-long loan from Inter Milan in the summer.
“It’s true that today he asked to leave,” said PSG sporting director Leonardo after a 1-0 win over Lorient in the French Cup on Sunday.
“We are studying the situation.”
He added: “It’s also true that there has been an approach from Atletico Madrid.”
Cavani joined PSG in 2013 and is the club’s record scorer with 198 goals.
He was not in the squad that beat Lorient and Leonardo added: “We have to listen to him because we have a lot of respect for the player.”
PSG coach Thomas Tuchel appears keen to keep Cavani to help his side’s push for silverware.
“I have said a lot about this, I am not going to repeat myself always on the same subject,” said Tuchel. “If we want to achieve our objectives – winning as many trophies as possible – it’s best with ‘Edi’, yes.”
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