The England international striker is said to be unsure on whether the move would be beneficial given the recent return to form of Robbie Keane.
At 31, Heskey is in need of the regular first team football to maintain his place as England's top striker.
However Latics chairman Dave Whelan has commented that the next month could see Heskey depart.
He told the Wigan Evening Post: "Everybody knows Emile Heskey's future hangs in the balance right now ahead of the transfer window opening on Thursday.
"Emile is out of contract at the end of the season, but there have been no approaches for him. If Emile eventually moves on, we naturally have to find a quality replacement.
"We totally respect Emile and it all depends on what he wants to do. I honestly feel this could be his last career move, but obviously we would love to see him stay at Wigan."
Meanwhile, manager Steve Bruce confirmed that the club have not received any bids for the powerhouse forward.
"The good thing is that we have had no bids in for him, or anybody else here for that matter, and I just hope that continues all through January," commented Bruce.
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