Penaranda was substituted in injury time as England won the Fifa tournament in South Korea and was later diagnosed with a fractured fifth metatarsal.
The 20-year-old striker spent the second half of last season on loan at Malaga, but was used sparingly by their coach Michel and does not want to return to the club for another spell.
The Hornets signed Penaranda from Udinese last summer, before initially loaning him back to the Serie A club, but his performances in South Korea as Venezuela's Under-20s reached the final have brought other interested parties to the table.
Reports in his home country have claimed Deportivo La Coruna, managed by ex-West Brom boss Pepe Mel, and Roma are keen to sign him this summer.
Roma's new sporting director Monchi, the man behind Sevilla's recent success in the transfer market, is also understood to be a fan of Penaranda.