Sannino left his last role with Serie A side Chievo Verona last month, but he now appears to be in line to take charge of Watford.
Gianfranco Zola quit as Watford boss on Monday evening, but the club's Italian owners - the Pozzo family - have seemingly wasted little time in using their contacts to come up with Sannino.
Speaking to Radio Sportiva, the 57-year-old former Siena and Palermo chief said: "Me to Watford? I don't want to say too much, but there has been some contact and soon I will fly to England to analyse things and to understand if something can be born.
"I always want to be working in the field and I always want new challenges."
Sky Bet were forced to suspended betting on the next Watford manager after Sannino was backed at as short as 1/8 for the job.
Zola had led the club to last season's Championship play-off final, but Saturday's defeat to Sheffield Wednesday was a fifth in a row at Vicarage Road.
And a statement on the Watford website confirmed the Italian's resignation, after 18 months in the job, had been accepted "with great sadness".
In an open letter to supporters, Zola wrote: "I am writing this with a very heavy heart and after a lot of consideration, to tell you that I have resigned.
"First of all, this decision has not been made quickly. I mentioned after the game on Saturday that I wanted to think about things overnight and that is exactly what I have done.
"I must place Watford Football Club first in my thoughts and it is for this reason that I have taken my action.
"I feel that it is in the best interests of the team that somebody new is given the chance to bring the success which we have all hoped for and worked very hard for.
"It is for a variety of reasons, and not just over one matter or one moment, that I feel this is the right decision for me, in the best interests of the club - and I know I can trust you, the supporters, to respect my decision fully."