Rovers are reported to have dispatched scouts to watch the 26-year-old left-back in action for the Segunda Liga outfit.
Lago is contracted to Celta until the summer of 2014 and they believed to be against losing the player as they target promotion.
Celta are aware of the reports linking Blackburn with a move, although no one at the club has been contacted by the Ewood Park side.
Lago himself is treating the news as speculation until there is an offer on the table which is acceptable to the Galacian side.
"I've read the stories in the papers, but my agent has not communicated anything new to me," commented Lago.
Source: Team Talk
Source: Team Talk