Stephens has played 14 games for Sydney in his two seasons at the club, finding opportunities in John Longmire's team hard to come by.
The 20-year-old is keen to gain further experience at senior level while remaining at the Swans, however could be tempted by greater options elsewhere.
The Swans are facing a number of tough calls on out-of-contract stars as the final years of veteran forward Lance Franklin's deal swallow a large sum of the club's salary.
Franklin famously inked a nine-year, $10 million deal to join the Swans from Hawthorn at the end of the 2013 season.
Across 2021 and 2022, Franklin is reportedly set to earn close to $2.5 million of that deal, meaning off-contract players such as Luke Parker, Jordan Dawson, George Hewett and Dylan Stephens could be squeezed out of Sydney.
Speaking on AFL.com.au's Trade Desk, Cal Twomey suggested the Magpies were showing interest in Stephens' services.
"Something to keep an eye on with the Pies that has been linked to the Collingwood footy club is Dylan Stephens," Twomey said. "He's a midfielder who out-of-contract at the Swans.
"There's no doubt that the Swans' cap has been tightened by the fact Buddy Franklin is into the big last couple of years in that mammoth deal that he signed about a decade ago.
"It has made some difficulties to get these big deals done.
"So Parker, Dawson, George Hewett and Dylan Stephens are all out-of-contract at the Swans."
While the Magpies could move for the South Australian product, they would find some difficulty in landing a trade.
Collingwood are understood to be facing further strains in their salary cap that heavily impacted their list last year.
The Magpies will also need to collect enough draft points to secure father-son selection Nick Daicos, who is tipped to land at the top of this year's draft order.
With Collingwood having traded their 2021 first-round selection to Greater Western Sydney during last year's exchange period, trade capital might be hard to come by for the Magpies.
Added to the reported interest in Stephens from other rivals, and Collingwood face an uphill battle in their potential pursuit for the young Swan.
"A number of clubs are looking at Dylan Stephens, but the difficulty from a Collingwood perspective would be how do you get the deal done knowing you've got Nick Daicos coming in as a father-son pick," Twomey added,
Collingwood currently have a bevy of senior players that remain unsigned for the 2022 season, with several players likely to be made to wait until the end of the year to sign new deals.