The Nigeria striker took to social media on Sunday to announce he had made a transfer request after Atalanta had blocked a move away.
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It's understood both Lookman and Inter Milan have so far been frustrated by Atalanta over their asking price for the striker.
After a lengthy post from the player, the Nigerian FA responded, stating: "We stand with Ademola Lookman".
Meanwhile, Lookman has now removed all mentions of Atalanta from his social media profile.