The Ukrainian holds the WBA, IBF, WBO, IBO titles and the only one missing is the WBC belt held by Wilder, who defended his title over the weekend by knocking out Eric Molina in Alabama.
Klitschko is expected to defend his title against mandatory challenger Tyson Fury in Germany or the UK this year.
In a chat with Ringside, Klitschko confirmed that he definitely wants to unify all the belts and have them in his name.
"Obviously he is one of my target opponents since he's holding the title that I've never had before," Klitschko told Ringside.
"I definitely want to unify all the belts, but it's not a must. If that's not going to work, I'll still be the heavyweight champion of the world.
"It's not a must, but it would be nice to unify that belt that Deontay Wilder holds," he added.