Anderson and Duchovny starred in the popular "X Files" television show, which ran from 1993 to 2002, then two subsequent films.
They discussed the possibility of a third flick at a panel at New York's Paley Center for Media, Zap2it.com reported.
"All the principals are on board. Gillian and I want to do it, so it's really up to Twentieth Century Fox at this point," Duchovny said.
"If it takes fan encouragement to get Fox interested in that, then I guess that's what it would be," Anderson said.