Koeman has spent the last three seasons with Feyenoord, but the former Netherlands international is keen to test himself in the Premier League at some stage in his career.
Albers told the Daily Echo: "We haven't been approached by anybody, but he would like to work in the Premier League.
"From Ronald's point of view, it would be amazing. I think that it would be a very good success for the club but also for the Premier League to get a coach like him."
Southampton are looking for a new manager after Mauricio Pochettino resigned to join Tottenham Hotspur on a five-year deal earlier this week.