Manchester United and PSG had scouts posted to Lazio's Coppa Italia victory over Napoli.
Senad Lulic struck the only goal of the semifinal to fire Lazio into the final.
Italian transfer expert Gianluca di Marzio reports United and PSG scouts attended the game to see Lazio midfield pair Felipe Anderson and Lucas Biglia.
It's suggested United's focus was on Biglia, while Anderson is a prime target for PSG.
Anderson penned a new deal with United last month.