"I thought I'd probably go back there and do that, but I am also aware there are not a lot of jobs in New Zealand. That might not be an option.
"So it's a case of maybe looking at whether it is a job back in club rugby in the Premiership, France or Japan or something like that. Maybe I'll go and coach Merthyr Tydfil!"
Gatland won three Premiership titles with Wasps in 2003, 2004 and 2005. Under his guidance they also sealed Heineken Cup glory in 2004.
World rugby will see a coaching merry-go-round at the end of 2019. Gatland, plus Ireland boss Joe Schmidt and New Zealand's Steve Hansen will all move on after the World Cup.
England's Eddie Jones is also expected to do likewise.
Gatland's record means he is sure to be a man with plenty of options on the table and he plans to begin his last year as Wales boss with Six Nations glory.
His team open the tournament against France in Paris on February 1.
Gatland, who has been mentioned as a possible successor to Jones with England, is readying himself for his 10th Six Nations with Wales. His longevity has been remarkable.
Since he took charge in 2007, Wales have won three titles, two with Grand Slams.
"It's my last Six Nations – with Wales! It's a big year for us so you've got to be up for that," Gatland said. "What's changed about the Six Nations is how competitive it has become.
"There was a period when everyone said it was between England and France and everyone else just made up the numbers. I was involved in the old Five Nations before Italy and they're still playing a bit of catch-up, but at the moment I think the other five teams are all capable of beating each other. "This is the competition we really focus on. I take a lot of pride in the fact we go out there and it doesn't matter who we play, they know they're in for one hell of a tough game.
"Success for me is not always about winning, it's about overachieving. If you look at the Premier League and a team like Bournemouth, they've been successful because they're overachieving in terms of what people expect. If Cardiff City stay up this season they will have been successful and overachieved because everyone expects them to get relegated. That's the way I look at things. "During my tenure we've been disappointed we haven't had more success against southern hemisphere teams, but that hasn't always been our focus.
"Our focus has been on the Six Nations where history, points and pride are at stake. There is no doubt we are still punching massively above our weight.
"I think we'll do well in this Six Nations and I'm really looking forward to it."