Keita will not be involved in Sunday's match against Italian champions Juventus amid links with the Turin giants as well as AC Milan.
Lazio said the Senegal global was out with a muscle injury, but he denied that in a statement on Twitter.
Having qualified for the Super Cup after losing to Jventus in last season's Coppa Italia final, Lazio have their work cut out for them in a game that his opposite number, Massimiliano Allegri seems set to win.
"The decision made by the club, which evidently had nothing to do with purely sporting criteria, puts me in a psychologically uncomfortable position and right now I don't know how to evaluate the consequences of that".
"There are rumours around Keita and I will observe everything", Inzaghi said. "If I can see that in Keita, then he'll play, otherwise I'll look to someone else".
The 22-year-old Senegal worldwide forward hit out at Lazio for being overlooked for the Rome showpiece as he questioned his future at the club.