"I'm just taking a bit of time to consider what's next, exciting times moving forward," Gerrard, who is England's fourth most-capped player, told BT Sport.
"I spoke to MK Dons. I had a chat with the chairman, it's a very exciting job for somebody else but it's a bit soon for me. But it's true, I did speak to them."
The British media has linked Gerrard, who is currently working towards his UEFA A coaching licence - the second-highest qualification available - with moves to Celtic and Newcastle United, as well as a return to Anfield as part of the coaching team.
(Reporting by Shravanth Vijayakumar in Bengaluru)
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