The 20-year-old player is high on the Russian club's wanted list after impressing the coaches during a recent trial stint.
Mamelodi Sundowns confirmed to KickOff.com that they have received an offer for the promising young defender and will be weighing up their options before responding to the Russians.
"At this stage it would be premature to say that we have reached an agreement with the club regarding Xulu," Sundowns spokesperson Kabelo Mosito says.
"I will not get into any figures related to the deal. The process is ongoing and the club will issue a statement when the time is appropriate," he adds.
Xulu's representative Paul Mitchel describes the negotiations as "promising" and remains confident the player will play in Europe this season.
A source at the club says Sundowns Patrice Motsepe is seriously considering the "good offer" from FC Rostov.
With the Brazilians having signed two defenders – Alje Schut from FC Utrecht and Wayne Arendse from relegated side Santos – Xulu is likely to be given the green light to sign with the Russian club.