The 29-year-old, who netted on his international debut on Monday, was the subject of interest from a number of European clubs after scoring 55 goals over two seasons for Feyenoord.
Napoli were one of the teams in for the forward, but Pelle eventually opened to join Southampton.
"During the summer there was a discussion with Napoli about Pelle, but my client had many offers from all over Europe," his agent Romualdo Corvino told Radio Crc.
"At Napoli he would've been the reserve for Gonzalo Higuain. Napoli is a great club and Pelle always speaks highly of them, as all players would love to wear the Partenopei jersey.
"In football you can never say never, so we cannot rule out a future for Pelle at the Stadio San Paolo."
Pelle has scored five times in eight games for Southampton this season.