This comes after the former Republic of Ireland star was heavily linked with the Celtic manager role following Brendan Rodgers' departure.
Keane, 45, currently manages Ferencvaros in Hungary and has previous managerial experience with Maccabi Tel Aviv.
According to talkSPORT, Keane is eager to leave Hungary and return to Wolves, one of his former clubs.
Wolves sacked their manager, Vitor Pereira, on Sunday after failing to secure any wins in their opening 10 league matches.
Ally McCoist reacted to the news, saying: "I’ll tell you right now, it’s a good shout.
"Obviously he has connections with the club as well.
"I don’t think that’s a daft shout.
"It’s a big job for him, but it’s a heck of a job as well.
"He’s had a great start to his managerial career in Israel and Hungary, but that would be a big, big move for him."