Whelan broke his leg in the 1960 FA Cup final playing for Blackburn - the club Wigan could face at Wembley if Rovers beat Millwall in their quarter-final replay.
And Whelan admits the prospect of leading the team out against his old club is an enticing one.
He told Sky Sports News: "It is the manager's job and I said, 'no, Roberto, you should do it' but he's like me. If we get Blackburn Rovers he wants me to lead them out. So it may well happen now.
"I feel like I've got unfinished business at Wembley and this could fulfil that desire I've got.
"We've never been in a final before so if we can get to the final and we get a chance of winning it..."
Wigan are currently in the Premier League relegation zone but asked if he would prefer winning the FA Cup to staying up, Whelan said: "To win the cup and stay in the league is the real dream isn't it?"