Lyon hasn't coached in the AFL since being sacked from the Dockers at the end of the 2019 season.
The 54-year-old managed three Grand Final appearances between his stints with the Saints and Dockers, recording 163 wins from his 285 games in the hot-seat.
With growing speculation around whether he will return to the coaching landscape, Lyon spoke on a past discussion he held with coaching great Leigh Matthews.
“I ran into Leigh Matthews and it was a really simple conversation at the end of one of our games," Lyon said on Triple M.
“I’d certainly closed it and I saw Leigh, and Leigh doesn’t talk a lot but he’s very respected, and he said, ‘mate, you going to coach again?’.
“And I said, ‘nah I’m done mate’, and he goes, ‘you’re too young, you miss game-day, you need to coach again’.
“There’s a lot of noise around you and the narrative and I felt there was some respect there from Leigh and it does stimulate your thinking that you’ve got something to offer and maybe if an opportunity presented, maybe you look.".
Lyon added that should the Magpies look to make contact with him, he would be sure to pick up the phone.
“The Collingwood Football Club, if they reached (out), you would speak to them, but you need to be all-in. It’s an all-in job," he said.
“AFL coaching is a passion. I never found it torturous or a job. To put a team around you and to commit to something and try and build something special is a wonderful feeling."
Collingwood are yet to name their new senior coach, with COVID-19 related delays placing face-to-face conversations with candidates on hold.
The Magpies are understood to have interviewed Richmond assistant Adam Kingsley and former Lions senior coach Michael Voss.
Collingwood, along with the Blues, are tipped to show interest in outgoing Hawks boss Alastair Clarkson, who is believed to already be in the sights of as many as 10 clubs.
Former Saint and Dockers player Zach Dawson told 6PR that he believes Lyon won't make a return to coaching.
“A little bit hard to get the real info out, I don’t know whether what he’s telling me is the truth or not” Dawson said.
“Through our conversations, it’s been more no than yes”