The 42-year-old has been out of work since November when he was dismissed by the Blues and replaced with interim boss Rafael Benitez.
"I have a contract with Chelsea until 2014 and I have been unemployed for a few months," Di Matteo told Gazzetta dello Sport. "I have not yet been bored.
"I don't know when I'll be back [managing]. A return to Italy? One day, who knows. I love Italy. I was fond of Lazio, who are having a very good season.
"I feel Italian, but also European. And my children go to school in London, so for the moment it is difficult for me to imagine being far away. The next choice will be crucial for my career."
Di Matteo's previous managerial stints include terms at MK Dons and West Bromwich Albion.