Cubs general manager Jim Hendry had not heard about Schilling's interest until approached by reporters.
"We'll always keep our eye on anybody who we think might help us," Hendry said. "I have a lot of respect for him, he's a great pitcher, a big-game pitcher. But I didn't know anything about this until you guys told me."
Appearing in ESPN The Weekend activities Saturday at Disney World, Schilling told the paper "the challenge would be in a place like Tampa Bay or Chicago," and he could be lured back for another season. Money is not a major factor, the report stated. Schilling, 42, missed all of the 2008 season with a shoulder injury.
"Absolutely I'll come back," he said.
The right-hander won his third World Series title in 2007, but underwent shoulder surgery last summer. He filed for free agency at the end of the season.
When asked about the report on Schilling, Cubs manager Lou Piniella acknowledged the right-hander's professionalism.
"This guy, he's a pro," Piniella said. "I don't know how accurate [the rumors] are, but you get a pitcher with his credentials and his winning habits, it would be something to explore."
Schilling told the paper his shoulder feels fine and he is not looking to be on an Opening Day roster.
"I'm hemming and hawing right now," he said. "I'll make a decision in the next couple of weeks."
Back in 2007, Schilling told Boston radio station WEEI that pitching for the Rays intrigued him.
"It's one of those situations you'd certainly have to look at," Schilling said at the time. "Knowing that I'm probably going to spend one more year playing, if circumstances happen and things happen and they made some moves that were positive, I'd love nothing more than to finish my career working on a pitching staff where I know that there are young guys that are going to be positively impacted by me being around (after) I was gone. I enjoy that. I love working and talking and being around young pitchers."
Jesse Sanchez is a reporter for MLB.com. This story was not subject to the approval of Major League Baseball or its clubs.