New Hornets boss Marco Silva is on the hunt for attacking reinforcements this summer and he is a fan of the 20-year-old.
The Ivory Coast international has struck over 20 times during the past two seasons and he is developing into one of the most lethal forwards in France.
Watford have been so impressed that they have made an offer of £10.5m but, according to L'Equipe, it has been swiftly rejected.
Lyon believe Cornet has a big role to play this season, particularly given star striker Alexandre Lacazette has joined Arsenal.
Cornet is also reluctant to leave the French club for Watford as he wants to play European football next season.