O'Neill is among several names to have been linked with the Premier League side since Claudio Ranieri's sacking.
Caretaker boss Craig Shakespeare has strengthened his prospects after guiding the Foxes to two straight wins.
"You have to consider these things if the opportunity is presented to you," said O'Neill, 47.
"I don't think you can ever say 'no' in football but equally I'm not actively looking for another job.
"When vacancies have arisen particularly in England this year, my name has been mentioned but I actively haven't sought another job outside of the one I'm in. That won't change over the course of my contract.
"It's always nice to be linked with jobs. It's the nature of football now and the media that surrounds football."
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Leicester, who won the Premier League last season, are believed to have spoken to a number of potential candidates to replace Ranieri, including former England manager Roy Hodgson.
O'Neill added that all his focus at the moment is on Northern Ireland's crucial home World Cup qualifier against Norway on 26 March.
"As a squad and as a team, we want to do the country proud and give ourselves the opportunity of going to Russia."
The Northern Ireland boss was appointed in December 2011 and has three more years on his current contract.
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O'Neill's four-year deal, signed last March, included a release clause which would see the Irish FA being entitled to compensation if the Ballymena man was lured into club management.
He guided Northern Ireland to their major finals in 30 years as his side qualified for Euro 2016.
O'Neill's side qualified for the knockout stages in France before a second-round defeat by Wales and his team lie second in their World Cup qualifying group after four series of fixtures.
Northern Ireland boss Michael O'Neill says he could be "tempted" by the Leicester City job but insists he is not "actively seeking" a new post.