The 25-year-old produced an impressive performance against Holloway's team on Saturday afternoon, scoring his 18th goal of the season in the process.
When asked whether or not he would try to sign Vardy this month, Holloway refused to rule out the notion.
"I don't want to be disrespectful. If I am interested in him, then I will talk to the right people," he told the Blackpool Gazette.
"But what a wonderful player, and it makes you wonder why clubs didn't sign him up sooner. He looked a class act. I have never seen anyone run as beautifully in my life.
"They are lucky to have him and if they keep hold of him, God knows where they could end up."
Vardy has also been linked with moves to West Ham United and Celtic.