Chairman Paul Little said at Monday night's club annual general meeting that he had spoken to the four-time Bombers premiership coach about a possible return.
It was revealed two months ago that Essendon wanted one of its most important figures back at the club.
After coaching Essendon from 1981 to 2007, Sheedy was in charge at Greater Western Sydney for its first two seasons and is a Giants board member.
Sheedy's return would be a massive morale boost for Essendon as the club continues to deal with the fallout from the supplements scandal.
"A regular question I have been asked recently has been - will Kevin ever return to the club," Little said.
"Well, I can't say he will and I can't say he won't.
"But what I can say is that I have met with Kevin and will continue to have discussions with him about what the future might look like."
Little also said he would have preferred to retain former interim coach Mark Thompson on the club’s coaching staff.
There was strong speculation at the start of October that the club was on the verge of sacking coach James Hird, with Thompson to stay permanently in the role.
But the Bombers soon confirmed Hird would return.
After several weeks of speculation, Thompson then left the Bombers.
On Monday night, Little said the board would have preferred for Thompson to stay at Essendon.
"We were unable to find a suitable and meaningful role that would benefit both Mark and the club," Little said.
"We spent a great deal of time working with Mark on creating a new role.
"But he was unable to provide any certainty on what he wanted."
