Costa enjoyed an impressive season for the Championship side scoring 12 goals in his debut year in English football and also making headlines with a dazzling display against Liverpool in the FA Cup.
According to the Birmingham Mail, Costa, who is valued at around £20million, has been scouted by Premier League big boys Arsenal and Chelsea.
Wolves recently appointed Nuno Espirito Santo as their manager after the departure of Paul Lambert.
And Wolves managing director Laurie Dalrymple has refused to rule out the possibility of Costa leaving.
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I can’t sit here and definitely say he’s going absolutely nowhere because I don’t know what’s around the corner in four week’s time
Wolves managing director Laurie Dalrymple
He said: "I can’t sit here and definitely say he’s going absolutely nowhere because I don’t know what’s around the corner in four week’s time.
"We’re a football club in the Championship.
"We haven’t been in the Premier League for five seasons and we have very different financial pressures from a lot of other clubs in this league.
Wolves ace Helder Costa is wanted by Arsenal and Chelsea
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"It will purely come down to whether someone comes in with an offer that’s too good for us to turn down.
"We obviously feel that Costa is a very valuable asset.
"The only reason we wouldn’t keep hold of that asset would be if it was in the club’s interest from a financial point of view."