The former England international is set to play his final game for Villa at Norwich next Sunday as his three and a half year deal is completed.
Heskey's first club, Leicester, are being linked with the player but he has an open mind over his future.
He said: "I've enjoyed my spell at Villa. We got to the Carling Cup final, and an FA Cup semi-final. It gave me the chance at Wembley again so I can't complain.
"But there are no contract talks with Villa so I will be looking elsewhere.
"I haven't got a club (lined up) to be honest. Obviously my contract is up so I just take it day by day and see what crops up.
"But I want to carry on playing. I'm 34, I still feel I can play so I don't see why I need to retire just now.
"I still want to play at Premier League level. From when I started, I always said I wanted to play at the highest level wherever that might be. You always strive for that."
When asked about a possible move to Leicester, Heskey said: "There is nothing on that. There is a possibility that might happen.
"I'm not going to turn anything down. I'll look at anything, have a little break, and then see what offers there are."
There is continuing speculation over manager Alex McLeish's future despite Villa virtually making sure of Barclays Premier League survival with Sunday's 1-1 home draw with Tottenham.
But Heskey believes whoever is in charge needs to be in a position to strengthen the squad this summer.
He said: "Will McLeish still be manager? Best to ask the powers that be. I don't see why not. We are more or less safe now so he will be looking forward to next year.
"But I think a few more players are needed. I think we needed a few more players this season but he battled on with what he had.
"I'm sure Alex will have people he wants on his radar and hopefully he gets them in."