Samir Nasri has revealed he is ready to open talks with Manchester City about extending his stay at the Etihad Stadium.
Blackburn have signed young defender Michael Keane on loan from Manchester United for the remainder of the season.
The Italian, sacked by Serie A side Chievo in November, is odds-on favourite with the bookmakers to replace Gianfranco Zola after the former Chelsea player resigned as Hornets head coach on Monday.
According to Sky Sports, Sannino told Radio Sportiva: "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."
Sannino has also previously managed Siena and Palermo and now appears overwhelming favourite be appointed by Watford's Italian owners the Pozzo family.
Meanwhile, a host of Watford players have shown their appreciation towards Zola after he announced his resignation.
Zola admitted he had made the decision "in the best interests of the team", with the Hornets currently nine matches without a win in the Championship and having slumped into the bottom half of the table.
He spent almost 18 months in charge at Vicarage Road, finishing third last season and beating Leicester in a thrilling play-off semi-final before losing out to Crystal Palace at Wembley.
Watford defender Daniel Pudil wrote on Twitter: "Mr Zola was one of the best manager I ever had!!! Was pleasure for me to work with him! Thank you for amazing 1 and half year! All the best."
Fitz Hall added: "Just like to say it's been a pleasure to work for Gianfranco Zola the nicest man I've ever met on & off the pitch.Will be missed by every1!"
Fellow Hornets defender Marco Cassetti also took to the social media site to express his feelings towards fellow Italian Zola.
"I'm so sad today when I have know Zola resigns as Watford manager. One of the best person I meet in my career . All the best," he said.
Tommie Hoban also added: "Zola was fantastic for me personally and for the team in my opinion! Very sad to see him go! Wish him all the best for the future!"
Other Watford players to express their thanks and support for Zola include Cristian Battocchio, Uche Ikpeazu, Bernard Mensah and Arsenal loanee Hector Bellerin.