Aubameyang is linked with a summer switch to Chelsea after telling Borussia Dortmund he wants to leave the club.
Chelsea are in the market for a forward after boss Antonio Conte told last season's top scorer Diego Costa he is not in his plans.
Aubameyang was of interest of Paris Saint-Germain but the Ligue 1 giants pulled out of a deal for the 28-year-old earlier this summer.
Nicol cannot understand why Aubameyang has not been signed by someone yet, especially looking at his goalscoring record, where he top scored in the Bundesliga last term.
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How Chelsea could look with Pierre-Emerick Aubameyang
Steve Nicol says he'd rather have Pierre-Emerick Aubameyang to Romelu Lukaku
I would have Aubameyang in my team before Lukaku
Steve Nicol on Chelsea target Pierre-Emerick Aubameyang
"It's a complete head-scratcher," Nicol said on ESPN FC of Aubameyang's situation.
"People are talking in terms of people not wanting to pay what Borussia Dortmund are asking.
"You look around at what is going on now, you've got a full-back (Kyle Walker) going (to Manchester City) for £50million, you've got Lukaku at £75million.
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Steve Nicol cannot believe Pierre-Emerick Aubameyang has not attracted more interest this summer
"I would have Aubameyang in my team before Lukaku. He goes for £75million but yet, nobody wants Aubameyang. It's a complete head-scratcher.
"The guy has gone from the top of the tree to almost in a place where 'well we'll see what's going on and if we're still struggling we'll go and get this guy'.
"For a guy that scores that many goals? Head-scratcher."