The 36-year-old centre-back completed his free transfer to Championship side Aston Villa on Monday following a 22-year spell with the Blues.
When asked if he aims to return to Stamford Bridge in a managerial role, he said: "That's a goal. Me and Lamps (Frank Lampard) have had those conversations.
"Do you dream too big? I don't think you can ever dream too big.
"I've always wanted to be the very best and if that's in management, then Chelsea's the one.
"That would be incredible but I realise as well you can't go in somewhere like Chelsea as your first job."