Former England striker Heskey has not been offered a new contract at Villa Park.
The 34-year-old, who began his career with the Foxes and spent six years at the club before joining Liverpool in an £11 million deal in 2000, was linked with a return to Leicester earlier this season when Sven-Goran Eriksson was at the helm.
When asked about a possible move to the King Power Stadium, Heskey said: "There is a possibility that might happen.
"I'm not going to turn anything down. I'll look at anything, have a little break, and then see what offers there are.
"I haven't got a club (lined up) to be honest. Obviously my contract is up so I just take it day by day and see what crops up.
"But I want to carry on playing. I'm 34, I still feel I can play so I don't see why I need to retire just now."