The La Liga giants have been heavily linked with a move for the Italian international before the winter transfer window closes on February 1.
Former Valencia, and current Wolves head coach, Nuno Santo admitted he expects the 23-year old to join Los Che, but Gracia remains in the dark.
“I hear names through the media, but the club has not communicated absolutely anything to me about any possible arrivals,” he told an interview with Marca.
Santo has indicated the deal will not include a purchase clause for Cutrone with the Portuguese coach keen to retain an option on his future at Molineux.
Gracia also stated he has no update on Ruben Sobrino’s proposed exit from the Estadio Mestalla, with the 28-year old heavily linked with a loan to Cadiz.