Guidolin has been among the names linked with the Napoli job since it emerged Walter Mazzarri is yet to sign a contract extension on a deal that ends in the summer.
Rumours also abound that 35-year-old striker Di Natale could retire at the end of the season after scoring 150 goals in nine seasons with the Zebrette.
While Guidolin could not speak for his captain, he admitted his own next move would probably be to a foreign league, not that he is planning to leave any time soon.
He told La Repubblica: "I've always said I feel Friulian and that I'm happy at Udinese. I love this shirt with an attachment that is perhaps a bit rare in football.
"I've always said I want to finish my Italian career here but I've always been interested in managing abroad."
On Di Natale, he continued: "He's gained a lot more self-esteem over the years. He's become a better leader, more charismatic and a stronger person.
"But let's not put the cart before the horse and don't ask me about it, ask Toto."
Bologna are now chasing a top-half spot having won three games from four, while Guidolin considers an improbable late push for the top six.
"There are nine games left and we have 41 points, but it's still hard to imagine we'll qualify for Europe," he added.
"Our first goal is to reign Catania in and improve our current ranking, but I'm not talking about Europe quite yet."
Home midfielders Giampiero Pinzi and Andrea Lazzarri are injured, while Bologna striker Alessandro Diamanti serves a one-match ban.
Rossoblu boss Stefano Pioli approaches the game in high spirits, having agreed to stay in charge at the Renato Dall'Ara until July 2015.
Bologna struggled to leave the bottom five for much of the winter, but better results have brought Pioli's men within sight of the top 10 and their coach a new contract.
"I am very happy," he told bolognafc.it. "I really appreciate the club and its fans who have always supported me, even through difficult times.
"I believe strongly in the work we are doing and I'm not thinking about anything else but finishing this season strongly and starting work on the next one."
Bologna, however, have failed to beat Udinese at home or away since September 2010 and they have not won in Friuli since 2005.