The Bundesliga club says it received an official offer for the 24-year-old Elia on Tuesday evening.
Hamburg brushed aside the Italian club's bid. Sports director Frank Arnsen says ''we don't want to give up Eljero Elia and also have no need to sell him.''
He adds that Elia is a ''very important player'' for Hamburg.
Hamburg hopes to improve on a disappointing showing last season, when it finished eighth in the Bundesliga and missed out on European play. But it lost its opening league match 3-1 to champion Borussia Dortmund last Friday.