The 36-year-old, who is set to leave the Blues this summer after spending 22 years at the club, is reportedly still weighing up his next move.
He said: "I do want to be a manager. I think I've got too much to give and I've learned too much not to pass that on, whether that's initially to a younger generation or eventually at this level.
"It's the last time probably at Wembley for me as a player. Hopefully one day I'll be back here as a manager. That's kind of the ambition — being here, managing a top side."