McClaren guided Middlesbrough to Carling Cup success and to the Uefa Cup final, before taking over as England boss.
McClaren was sacked from his job as England boss after failing to qualify for Europ 2008.
“I might miss the passion and atmosphere of some Premier League games,” he told the News of the World.
“But it would not surprise me if my next job was also abroad. And maybe the one after that, who knows?
“I’ve always liked European football and it’s a great experience to have to learn a different way of life, a different culture, to have to adapt.”