The East Valley Tribune reports Gretzky, managing partner of the Phoenix Coyotes, may replace Rick Bowness once the lockout is over.
Gretzky said he hadn't thought much about a move to coaching since general manager Mike Barnett first broached the subject before the June draft.
"I have so much on my plate with my personal and business commitments that I haven't really sat down to seriously discuss the idea," Gretzky told the Tribune. "It's the closest thing to playing, and I do miss being around the team atmosphere. But I certainly have a lot of other things to occupy my time that are also exciting.
"Coaching is something you have to throw yourself into. The daily preparation is a tough job."