Atletico are trying to offload the 24-year-old winger this month and have been looking around the Premier League for clubs interested in buying him.
Chelsea have also been touted as a potential destination as they are not willing to match the asking price Crystal Palace have set for Wilfried Zaha and are looking for other options. However, Lemar is not seen as a priority for the Stamford Bridge outfit.
Goal has now learned that Wolves are showing an interest in Lemar as they prepare to dip into the transfer market for new signings.
The Premier League side have a strong working relationship with agent Jorge Mendes, who is helping Atletico find a new club for the France international, and they have already taken two players - Jonny Otto and Diogo Jota - off the Madrid side's hands.
Wolves boss Nuno Espirito Santo admitted on Saturday that his side are in need of new signings after they were held to a 1-1 draw with Newcastle, and Lemar has become one of their top targets.
Atletico are open to letting the former Monaco star go out on loan until the end of the season but only if the deal includes an option to buy him permanently for at least €40 million (£34m/$44m).
Sitting seventh in the Premier League, Wolves are in contention for a place in Europe next season, and Nuno hopes they can strengthen before the January window closes.
"It’s obvious that we must bring players," he said after Saturday's game. "It was not the best game, it was difficult, not many spaces, but the final delivery should be better.
"We are working and hopefully things work out and we can solve it. We need solutions, we need more than specific positions, players that can bring us different situations, that can help us in these kind of games."
Lemar joined Atletico from Monaco in 2018 and has made 64 appearances in all competitions for Diego Simeone's men.