The veteran boss is out of work after leaving previous club Huddersfield Town last month.
Any potential move would be steeped in controversy though, given Warnock's history with arch-rivals Sheffield United.
The 74-year-old spent eight years as manager of the Blades between 1999 and 2007, a spell which saw him guide the Yorkshire side to the Premier League in 2006.
However, Sheffield United were limited to just one season in the Premier League as they were immediately relegated the following year.
For Sheffield Wednesday, there's a need to find a manager who is fit for the challenge ahead following the decision to sack Xisco Munoz.
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Munoz was axed after failing to win any of the club's first 10 matches, picking up just two points along the way.
The Owls won promotion last season from League One, but the man who got them there, Darren Moore, was sacked over the summer, leading to the appointment of ex-Watford boss Munoz.
By coincidence, Sheffield Wednesday's next match will see them come up against Moore's side after he succeeded Warnock with Huddersfield last month.