The Brazilian has coached both AC Milan and Inter Milan so far in his career and took over his current role at PSG in July 2011.
"I will never be a coach at PSG, but I would like to one day become a manager in England," he told L'Equipe. "I live by results. I'm free and independent."
PSG coach Carlo Ancelotti, who managed Chelsea in England, believes that Leonardo will enjoy himself in the Premier League because of its "atmosphere".
"It's a great experience to coach in England," said the Italian. "I think Leo hasn't had the time to fulfil himself as a coach.
"Undoubtedly, he wants to go a step further one day, but today he's completely committed to the PSG project. And he's very important for this project.
"He has been up till now and will be again. [England] is the best for atmosphere. But the best thing, right now, is to coach Paris Saint-Germain."
Ancelotti won the Premier League and the FA Cup with Chelsea in 2010.