The Argentine international – who has been linked with Manchester United in recent weeks – is rumoured ti have grown unsettled at the Mestalla.
This has alerted Black Cats chief Gus Poyet, who is keen to bolster his squad in a bid to avoid relegation.
Banega has long been thought of as one of La Liga’s most promising playmakers, but a series of injuries have curtailed his development.
Although the 25-year-old is on the radars of many illustrious clubs, Sunderland are hopeful that their enquiry may lead to a concrete move for his services.
The North East outfit have already snapped up two of Banega’s compatriots in the shape of Oscar Ustari and Santiago Vergini of late, which may be enough to persuade the Valencia man to move.
Poyet is also looking to set up a reunion with Liam Bridcutt.
The pair worked together at Brighton, and the Uruguayan manager is known to be a fan of the midfielder.
Bridcutt himself is said to be keen on a move to the Premier League.