The Owls are currently led by Sean McAuley, who took over in a caretaker basis when Brian Laws was sacked earlier this month. Laws had been in charge at Hillsborough since November 2006, when he left Scunthorpe.
Ferguson, a son of Manchester United manager Sir Alex, was axed as Peterborough boss in November.
"Since I left there has been some interest but I decided to have a bit of a break and spend some time with my wife,” he said, speaking on Sky’s Goals on Sunday TV show.
"But I am having itchy feet now and I want to get back involved and I would be interested in talking to Sheffield Wednesday."
Ferguson suggested the club’s owner Darragh MacAnthony “lost confidence” in him as he wanted to sign some more experienced players.
"I felt that given time I could turn it round and the most important thing for me was to get some more experienced Championship players into the squad,” he added.
"There was a difference in opinion on that and the people in charge lost confidence in me. I'm not bitter about it - that's football - but I never wanted to leave the football club.
"I felt the players needed a bit of help. They had done fantastically well but we were in a league that was a massive leap forward and we needed help. The average age was around 22 which was the policy of the football club but when we got to the Championship that needed to change.”
Nigel Worthington, the Northern Ireland manager, has also been linked with the Wednesday job.