Immobile joined the La Liga club on a season-long loan spell from Borussia Dortmund in July 2015, before signing on a permanent deal worth 11m euros.
The 26-year-old was then loaned to Serie A side Torino, where he scored five goals in 14 games last season.
Immobile made two appearances for his country at Euro 2016.
Lazio have signed Italy striker Ciro Immobile from Sevilla for an undisclosed fee - reported to be around 8.5m euros (£7.1m).