The 37-year-old left English League One side MK Dons in January, just over 12 months after departing Tynecastle, but told the BBC that “one day” he would consider going back to Hearts.
“I had a phenomenal time [at Hearts]. But I’d like to go back there in a position where I’m at a top level and can really push the place on.”
Neilson spent ten years as a player with Hearts, and also had spells with Dundee United, Leicester and Brentford in 2011. He played a handful of games for Falkirk and East Fife before returning to Hearts to coach the Under-20s in August 2013.
He was appointed head coach the following summer, and returned Hearts to the top flight at the first time of asking as he led the Jambos to the Scottish Championship title.
A third-place finish the following season secured European football at the start of the 2016/17 season.
Hearts occupied second spot in the Scottish Premiership when MK Dons eventually made their move.
Under Neilson, the Dons avoided relegation and finished 12th last season, but were languishing in 21st in the division when Neilson left by “mutual consent” earlier this year.
Despite that, Neilson is adamant he made the right call in leaving the Capital for Milton Keynes, insisting it was important that he tested himself in a challenging environment.
“I wanted to take myself out of my comfort zone and progress as a coach. You have to keep pushing yourself,” he told BBC Scotland.
“I knew the potential and ambition at MK Dons and I hoped I could be the one to drive it forward. I still think it was the right decision because I’ve come back far more experienced.
“I’ve come back in a far better place as a manager because I had to deal with so much down there.”
Admitting he had learned from his experience, Neilson continued: “Ive had the success of being cherry-picked to go down, and also the negativity of being slapped back up the road again.
“My next job will hopefully be the right one for me; whether that’s in Scotland or England or further afield, I don’t know.”
Neilson also rubbished claims that current Hearts manager Craig Levein had interfered in first-team matters during his role as director of football.
“Craig at no point came into the dressing room and spoke to the players when I was there,” insisted Neilson.
“I had loads of conversations with him - any coach would be out of their mind not to listen to, and take advice from, somebody who has managed in England, in Scotland and has managed the national team.”